Published on 9/17/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $841,000 contingent coupon autocallable yield notes on indexes
By Sarah Lizee
Olympia, Wash., Sept. 17 – Credit Suisse AG, London Branch priced $841,000 of contingent coupon autocallable yield notes due June 17, 2021 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 10.1% 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 will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par plus the final coupon unless any index finishes below its knock-in level, 70% of its initial 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
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
|
| Amount: | $841,000
|
| Maturity: | June 17, 2021
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| Coupon: | 10.1% per year, payable quarterly if each underlying index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus the final coupon unless any index finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level
|
| Call option: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly observation date
|
| Initial levels: | 3,383.54 for S&P, 1,536.974 for Russell, 11,277.76 for Nasdaq
|
| Coupon barrier levels: | 2,368.478 for S&P, 1,075.8818 for Russell, 7,894.432 for Nasdaq; 70% of initial levels
|
| Knock-in levels: | 2,368.478 for S&P, 1,075.8818 for Russell, 7,894.432 for Nasdaq; 70% of initial levels
|
| Pricing date: | Sept. 14
|
| Settlement date: | Sept. 17
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.6%
|
| Cusip: | 22552WKE4
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