Published on 3/23/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.01 million contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, March 23 – Credit Suisse AG, London Branch priced $1.01 million of contingent coupon autocallable yield notes due March 16, 2026 linked to the least performing of Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 6% if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date after one year.
The payout at maturity will be par unless any index closes below its 60% threshold level, in which case investors will be fully exposed to the losses of the least-performing index.
The agent is Credit Suisse Securities (USA) LLC.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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Amount: | $1,014,000
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Maturity: | March 16, 2026
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Coupon: | 6% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its threshold level, in which case full exposure to the losses of the least-performing index
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Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date after one year
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Initial levels: | 3898.81 for S&P, 2285.683 for Russell and 12752.07 for Nasdaq
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Coupon barrier levels: | 3119.048 for S&P, 1828.5464 for Russell and 10201.656 for Nasdaq; 80% of initial levels
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Threshold levels: | 2339.286for S&P, 1371.4098 for Russell and 7651.242 for Nasdaq; 60% of initial levels
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Pricing date: | March 10
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Settlement date: | March 15
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.125%
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Cusip: | 22552XFR9
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