Published on 12/26/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.95 million autocallable buffered return notes on Russell, Nasdaq
By Taylor Fox
New York, Dec. 30 – Credit Suisse AG, London Branch priced $2.95 million of 0% autocallable buffered return equity securities due June 22, 2022 linked to the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a 9.65% annualized premium if both indexes close at or above their initial levels on June 17, 2021 or Dec. 17, 2021.
If the notes are not called, investors will receive par plus 14.475% if each index finishes at or above its initial level. Investors will receive par if the lesser performing index falls by up to 20% and will lose 1.25% for each 1% decline of the worse performing index beyond 20%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable buffered return equity securities
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| Underlying indexes: | Russell 2000 index and Nasdaq-100
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| Amount: | $2,946,000
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| Maturity: | June 22, 2022
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus 14.475% if each index finishes at or above its initial level; par if the lesser performing index falls by up to 20%; 1.25% loss for each 1% decline of the worse performing index beyond 20%
|
| Call: | Automatically at par plus 9.65% annualized premium if each index closes at or above its initial level on June 17, 2021 or Dec. 17, 2021
|
| Initial levels: | 1,952.722 for Russell, 12,668.16 for Nasdaq
|
| Buffer levels: | 1,562.1776 for Russell, 10,134.528 for Nasdaq; 80% of initial levels
|
| Pricing date: | Dec. 17
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| Settlement date: | Dec. 22
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.2%
|
| Cusip: | 22552WYR0
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