Published on 1/13/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.72 million contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, Jan. 13 – Credit Suisse AG, London Branch priced $2.72 million of contingent coupon autocallable yield notes due July 12, 2022 linked 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 will pay a quarterly coupon at an annualized rate of 10.4% if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par if all indexes close at or above their initial levels on any quarterly observation date.
The payout at maturity will be par unless any index finishes below its knock-in level, 65% of its initial level, in which case investors will be fully exposed to the decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $2,722,000
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| Maturity: | July 12, 2022
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| Coupon: | 10.4% per year, payable quarterly if each index closes at or above its coupon barrier level on the related observation date
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due unless any index finishes below its knock-in level, in which case full exposure to decline of least-performing index
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| Call: | At par plus coupon if all indexes close at or above their initial levels on any quarterly observation date
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| Initial levels: | 3803.79 for S&P, 2096.885 for Russell and 12939.57 for Nasdaq
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| Coupon barrier levels: | 2662.653 for S&P, 1467.8195 for Russell and 9057.699 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 2472.4635 for S&P, 1362.97525 for Russell and 8410.7205 for Nasdaq; 65% of initial levels
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.725%
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| Cusip: | 22552X3L5
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