Published on 11/22/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $8.05 million contingent coupon autocallable notes on indexes
By Taylor Fox
New York, Nov. 23 – Credit Suisse AG, London Branch priced $8.05 million of market-linked securities – autocallable with contingent coupon and contingent downside – due Nov. 18, 2024 linked to the lowest 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 8.25% if each index closes at or above its coupon barrier level, 75% 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 75% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500, Russell 2000 index and Nasdaq-100
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| Amount: | $8,045,000
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| Maturity: | Nov. 18, 2024
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| Coupon: | 8.25% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its knock-in level, in which case full exposure to the losses of the least-performing index
|
| Call: | Automatically at par if each index closes above initial level on any quarterly call date after six months
|
| Initial levels: | 3,585.15 for S&P, 11,937.84 for Nasdaq, 1,744.15 Russell
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| Coupon barrier levels: | 2,688.8625 for S&P, 8,953.38 for Nasdaq and 1,308.0315 for Russell; 75% of initial levels
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| Knock-in levels: | 2,688.8625 for S&P, 8,953.38 for Nasdaq and 1,308.0315 for Russell; 75% of initial levels
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| Pricing date: | Nov. 13
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| Settlement date: | Nov. 18
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.075%
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| Cusip: | 22552WRE7
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