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Published on 9/12/2020 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $3 million trigger callable contingent yield notes on ETFs

By Taylor Fox

New York, Sept. 14 – Credit Suisse AG, London Branch priced $3 million of trigger callable contingent yield notes with quarterly coupon observation due Aug. 31, 2022 linked to the least performing of the SPDR Dow Jones industrial average ETF Trust, the iShares Russell 2000 ETF and the Invesco S&P 500 equal weight ETF, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes pay a contingent coupon at the rate of 7.45% per year if each index’s closing level is above the coupon barrier, 60% of its initial level, on the related observation date.

The notes are redeemable at par of $10 on any quarterly observation date other than the final one.

If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial level, the payout at maturity will be par plus any coupon due. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.

UBS Financial Services Inc. is acting as distributor.

Issuer:Credit Suisse AG, London Branch
Issue:Trigger callable contingent yield notes with quarterly coupon observation
Underlying indexes:SPDR Dow Jones industrial average ETF Trust, the iShares Russell 2000 ETF and the Invesco S&P 500 equal weight ETF
Amount:$3 million
Maturity:Aug. 31, 2022
Coupon:7.45% per year, payable quarterly if each index closes above coupon barrier on related observation date
Price:Par of $10
Payout at maturity:If each index finishes at or above downside threshold, par plus any coupon due; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
Call option:At par on any quarterly observation date other than final one
Initial levels:$283.43 for Dow, $155.42 for Russell and $110.85 for Equal Weight
Coupon barriers:$170.06 for Dow, $93.25 for Russell and $66.51 for Equal Weight; 60% of initial levels
Downside thresholds:$170.06 for Dow, $93.25 for Russell and $66.51 for Equal Weight; 60% of initial levels
Pricing date:Aug. 27
Settlement date:Aug. 31
Distributor:UBS Financial Services Inc.
Fees:1%
Cusip:22550X477

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