Published on 12/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.83 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 24 – Credit Suisse AG, London Branch priced $1.83 million of contingent coupon autocallable yield notes due June 22, 2022 linked to the lowest performing of the 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 coupon at an annualized rate of 10.15% 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 each index closes above its initial level on any quarterly call date after six months.
The payout at maturity will be par unless any index finishes below its initial level and any index ever closes below its 70% knock-in level, in which case investors will be fully exposed to the losses 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: | Russell 2000, Nasdaq-100 and S&P 500
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| Amount: | $1,825,000
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| Maturity: | June 22, 2022
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| Coupon: | 10.15% annual rate, payable quarterly, if each index closes at or above its coupon barrier level on related observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its initial level and any index ever closes below knock-in level, in which case full exposure to the losses of the least-performing index
|
| Call: | At par if each index closes above initial level on any quarterly call date after six months
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| Initial levels: | 3,722.48 for S&P, 1,978.045 for Russell and 12,752.06 for Nasdaq
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| Coupon barrier levels: | 2,605.736 for S&P, 1,384.6315 for Russell and 8,296.442 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 2,605.736 for S&P, 1,384.6315 for Russell and 8,296.442 for Nasdaq; 70% of initial levels
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| Pricing date: | Dec. 17
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| Settlement date: | Dec. 22
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.725%
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| Cusip: | 22552WY25
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