Published on 3/27/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.26 million digital plus barrier notes linked to Russell, S&P
By Sarah Lizee
Olympia, Wash., March 27 – Credit Suisse AG, London Branch priced $5.26 million of 0% digital plus barrier notes due March 21, 2025 linked to the lowest performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
If neither index falls from its initial level, the payout at maturity will be par plus the greater of any gain of the laggard index and 81%.
If either index falls but not by more than 30%, the payout will be par.
Otherwise, the payout will be par plus the return of the least performing index with full exposure to the decline.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Digital plus barrier notes
|
| Underlying indexes: | S&P 500 and Nasdaq-100
|
| Amount: | $5,262,000
|
| Maturity: | March 21, 2025
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index gains or finishes flat, par plus greater of return of laggard index and 81%; if laggard index falls by up to 30%, par; otherwise, par plus the return of the least performing index with full exposure to the decline
|
| Initial levels: | 2,398.10 for S&P, 7,175.176 for Nasdaq
|
| Knock-in levels: | 1,678.67 for S&P, 5,022.6232 for Nasdaq, or 70% of initial levels
|
| Pricing date: | March 18
|
| Settlement date: | March 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.125%
|
| Cusip: | 22551NVA1
|
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