Published on 12/16/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 16 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due Jan. 10, 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 monthly coupon at an annualized rate of 6.75% 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 monthly call date after three months.
The payout at maturity will be par unless any index finishes below its 60% 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 million
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| Maturity: | Jan. 10, 2022
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| Coupon: | 6.75% annual rate, payable monthly, if each index closes at or above its coupon barrier level on related observation date
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| 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
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| Call: | At par if each index closes above initial level on any monthly call date after three months
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| Initial levels: | 3,699.12 for S&P, 1,892.449 for Russell and 12,528.48 for Nasdaq
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| Coupon barrier levels: | 2,589.384 for S&P, 1,324.7143 for Russell, and 8,469.936 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 2,219.472 for S&P, 1,135.4694 for Russell, and 7,517.088 for Nasdaq; 60% of initial levels
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| Pricing date: | Dec. 4
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| Settlement date: | Dec. 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.35%
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| Cusip: | 22552WWG6
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