Published on 9/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.12 million contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Sept. 24 – Credit Suisse AG, London Branch priced $1.12 million of contingent coupon autocallable yield notes due Dec. 20, 2021 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 8.4% if each asset closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each asset closes above its initial level on any monthly trigger observation date after three months.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset.
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 Financial Select Sector SPDR fund
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| Amount: | $1.12 million
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| Maturity: | Dec. 20, 2021
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| Coupon: | 8.4% per year, payable monthly if each asset 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 asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset
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| Call: | At par if each asset closes above initial level on any monthly trigger observation date after three months
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| Initial levels: | 3,401.2 for S&P, $24.71 for ETF, 1,538.154 for Russell
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| Coupon barrier levels: | 2,380.84 for S&P, $17.297 for ETF, 1,076.7078 for Russell, 70% of initial levels
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| Knock-in levels: | 2,380.84 for S&P, $17.297 for ETF, 1,076.7078 for Russell, 70% of initial levels
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.225%
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| Cusip: | 22552WKY0
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