Published on 12/21/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $12.7 million callable contingent income securities on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 21 – Credit Suisse AG, London Branch priced $12.7 million of callable contingent income securities due Dec. 20, 2023 linked to 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.
Each quarter, the notes will pay a contingent coupon at the rate of 6% per year if each index closes at or above its coupon barrier, 65% of its initial level, on the related observation date.
The notes are callable at par quarterly.
The payout at maturity will be par unless the least-performing index finishes below its knock-in level, 60% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000 and Nasdaq-100 index
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| Amount: | $12,703,000
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| Maturity: | Dec. 20, 2023
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| Coupon: | 6% per year, payable quarterly if each index closes at or above coupon barrier level on related observation date
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above knock-in level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
|
| Call option: | Quarterly at par
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| Initial levels: | 3,694.62 for S&P, 1,959.763 for Russell, 12,595.92 for Nasdaq
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| Coupon barrier levels: | 2,401.5for S&P, 1,273.846 for Russell, 8,187.35 for Nasdaq, or 65% of initial levels
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| Knock-in levels: | 2,216.77 for S&P, 1,175.858 for Russell, 7,557.55 for Nasdaq, or 60% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 22552WXV2
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