Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.27 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 25 – Credit Suisse AG, London Branch priced $1.27 million of contingent coupon autocallable yield notes due March 9, 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 10% if each index closes at or above its threshold level, 70% 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 monthly trigger observation date after three months.
The payout at maturity will be par unless any index closes below its 70% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
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 and S&P 500
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Amount: | $1,272,000
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Maturity: | March 9, 2022
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Coupon: | 10% 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, 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 monthly trigger observation date after three months
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Initial levels: | 3,768.47 for S&P, 2,146.924 for Russell and 12,464.0 for Nasdaq
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Coupon barrier levels: | 2,637.929 for S&P, 1,502.8468 for Russell and 8,724.8 for Nasdaq; 70% of initial levels
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Knock-in levels: | 2,637.929 for S&P, 1,502.8468 for Russell and 8,724.8 for Nasdaq; 70% of initial levels
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Pricing date: | March 4
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Settlement date: | March 9
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.725%
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Cusip: | 22552XE33
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