Published on 2/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable yield notes on indexes
By Taylor Fox
New York, Feb. 22 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due Aug. 16, 2022 linked to the least performing of 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 contingent coupon at an annual rate of 7.7% if each index closes at or above its coupon barrier, 60% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any index closes below its 60% knock-in level on any day during the life of the notes, in which case investors will be fully exposed to the losses of the least-performing index with a maximum payout of par.
The agent is Credit Suisse Securities (USA) LLC.
| 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: | Aug. 16, 2022
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| Coupon: | 7.7% per year, payable monthly if each index closes at or above its coupon barrier level on 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 on any day during the life of the notes, in which case full exposure to the losses of the least-performing index
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| Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date
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| Initial levels: | 3,916.38 for S&P, 2,285.317 for Russell and 13,734.35 for Nasdaq
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| Coupon barriers: | 2,349.828 for S&P, 1,371.1902 for Russell and 8,240.61 for Nasdaq; 60% of initial levels
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| Knock-in levels: | 2,349.828 for S&P, 1,371.1902 for Russell and 8,240.61 for Nasdaq; 60% of initial levels
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| Pricing date: | Feb. 11
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| Settlement date: | Feb. 16
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.725%
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| Cusip: | 22552XC43
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