Published on 3/11/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.3 million contingent coupon callable yield notes on indexes
By Taylor Fox
New York, March 11 – Credit Suisse AG, London Branch priced $1.3 million of contingent coupon callable yield notes due Dec. 5, 2022 linked to the lowest performing of the Nasdaq-100 index, 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 9.5% if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be callable at par on any monthly call date after three 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
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index and S&P 500 index
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| Amount: | $1.3 million
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| Maturity: | Dec. 5, 2022
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| Coupon: | 9.5% per year, payable monthly if each index closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to the losses of the least-performing index
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| Call: | At par on any monthly call date after three months
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| Initial level: | 2,201.051 for Russell, 3,811.15 for S&P, 12,909.44 for Nasdaq
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| Coupon barriers: | 1,650.78825 for Russell, 2,858.3625 for S&P, 9,682.08 for Nasdaq; 75% of initial levels
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| Knock-in levels: | 1,540.7357 for Russell, 2,667.805 for S&P, 9,036.608 for Nasdaq; 70% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | March 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.225%
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| Cusip: | 22552XCZ4
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