Published on 2/27/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.01 million contingent coupon callable yield notes on funds
By Kiku Steinfeld
Chicago, Feb. 27 – Credit Suisse AG, London Branch priced $3.01 million of contingent coupon callable yield notes due Feb. 24, 2023 linked to the least performing of the SPDR S&P 500 ETF trust and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 10% if each fund closes at or above its coupon barrier, 60% of its initial level, on the observation date for that period.
The notes are callable at par plus the coupon on any quarterly contingent coupon payment date other than the final one.
If the notes are not called, the payout at maturity will be par plus the final coupon unless either fund finishes below its 60% knock-in level, in which case investors will receive a number of shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
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| Underlying funds: | SPDR S&P 500 ETF trust and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $3,012,000
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| Maturity: | Feb. 24, 2023
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| Coupon: | 10% per year, payable quarterly if each fund closes at or above its coupon barrier on related observation date
|
| Price: | Par
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| Payout at maturity: | Par plus coupon unless either fund finishes below its knock-in level, in which case a number of shares equal to $1,000 divided by initial share price or, at issuer’s option, cash equivalent
|
| Call: | At par plus coupon on any contingent coupon payment date other than final one
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| Initial prices: | $336.95 for trust, $19.20 for oil & gas
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| Coupon barrier/knock-in levels: | $202.17 for trust, $11.52 for oil & gas; 60% of initial levels
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| Pricing date: | Feb. 20
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| Settlement date: | Feb. 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.625%
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| Cusip: | 22550MAX7
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