Published on 12/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon callable yield notes on indexes
By Taylor Fox
New York, Dec. 24 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon callable yield notes due June 12, 2023 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 5.75% if each index closes at or above its coupon barrier, 70% of its initial level, on the related observation date.
The notes may be called in whole, but not in part, at par on any monthly contingent coupon payment date after six months
The payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $500,000
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Maturity: | June 12, 2023
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Coupon: | 5.75% per year, payable monthly if each index closes at or above its coupon barrier on related observation date
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Price: | Par
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Payout at maturity: | Par unless either index finishes below its knock-in level, in which case full exposure to any losses of the least-performing index
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Call option: | In whole at par on any monthly contingent coupon payment date after six months
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Initial levels: | 3,691.96 for S&P and 1,891.252 for Russell
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Coupon barrier levels: | 2,584.372 for S&P and 1,323.8764 for Russell; 70% of initial levels
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Knock-in levels: | 2,215.176 for S&P and 1,134.7512 for Russell; 60% of initial levels
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Pricing date: | Dec. 7
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Settlement date: | Dec. 10
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.9%
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Cusip: | 22552WWX9
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