Published on 2/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $787,000 contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Feb. 5 – Credit Suisse AG, London Branch priced $787,000 of contingent coupon autocallable yield notes due April 21, 2022 linked to the lowest performing of the Russell 2000 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 5% 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 six months.
The payout at maturity will be par unless any index finishes below its 70% 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
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $787,000
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| Maturity: | April 21, 2022
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| Coupon: | 5% annual rate, payable monthly, if each index closes at or above its coupon barrier level on related observation date
|
| Price: | Par
|
| 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: | At par if each index closes above initial level on any monthly call date after six months
|
| Initial levels: | 3,768.25 for S&P, 2,123.201 for Russell
|
| Coupon barrier levels: | 2,449.3625 for S&P, 1,380.08065 for Russell; 70% of initial levels
|
| Knock-in levels: | 2,449.3625 for S&P, 1,380.08065 for Russell; 70% of initial levels
|
| Pricing date: | Jan. 15
|
| Settlement date: | Jan. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.75%
|
| Cusip: | 22552X4L4
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