Published on 2/28/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.75 million contingent coupon callable yield notes on index, ETF
By Sarah Lizee
Olympia, Wash., Feb. 28 – Credit Suisse AG, London Branch priced $1.75 million of contingent coupon callable yield notes due Feb. 28, 2023 linked to the least performing of the S&P 500 index and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent month coupon at an annualized rate of 9.7% if each underlying asset closes at or above its coupon barrier level, 65% of its initial level, on the related observation date.
Credit Suisse may call the notes in whole but not in part at par on any quarterly call observation date after six months.
The payout at maturity will be par unless either asset finishes below its 65% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | S&P 500 index and SPDR S&P Biotech ETF
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| Amount: | $1,751,000
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| Maturity: | Feb. 28, 2023
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| Coupon: | 9.7% per year, payable monthly if each underlying asset closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either asset finishes below its knock-in, in which case full exposure to any losses of the least-performing asset
|
| Call option: | Callable at par on any quarterly call observation date after six months
|
| Initial levels: | 3,337.75 for index, $97.26 for ETF
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| Coupon barrier: | 2,169.5375 for index, $63.219 for ETF; 65% of initial levels
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| Knock-in levels: | 2,169.5375 for index, $63.219 for ETF; 65% of initial levels
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22551NN51
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