Published on 9/16/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.13 million contingent coupon callable yield notes on indexes
By Kiku Steinfeld
Chicago, Sept. 16 – Credit Suisse AG, London Branch, priced $5.13 million of contingent coupon callable yield notes due March 13, 2023linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at the rate of 10% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes are callable, in whole but not in part, at par plus any coupon on any monthly observation date starting in December.
The payout at maturity will be par unless any index finishes below its 51% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
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 indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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Amount: | $5,134,000
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Maturity: | March 13, 2023
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Coupon: | 10% per year, payable monthly if each underlying asset closes at or above its coupon barrier level on related observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below knock-in level, in which case exposure to decline of least-performing index
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Call option: | Callable in whole at par plus any coupon on any monthly observation date starting in December
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Initial levels: | 3,331.84 for S&P, 1,504.591 for Russell, 11,068.26 for Nasdaq
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Coupon barriers: | 2,332.288 for S&P, 1,053.2137 for Russell, 7,747.7799 for Nasdaq; 70% of initial levels
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Knock-in levels: | 1,699.2384 for S&P, 767.34141 for Russell, 5,644.81107 for Nasdaq; 51% of initial levels
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Pricing date: | Sept. 8
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Settlement date: | Sept. 11
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.6%
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Cusip: | 22552WHJ7
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