Published on 9/20/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $527,000 contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, Sept. 21 – Credit Suisse AG, London Branch priced $527,000 of contingent coupon autocallable yield notes due March 18, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 5.85% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
After six months, the notes will be called at par if each index closes above its initial level on any observation date after six months.
The payout at maturity will be par unless any index finishes below its knock-in level, 55% of its initial level, in which case investors will lose 1% for every 1% decline 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
|
| Underlying indexes: | S&P 500, Russell 2000 and Dow Jones industrial average
|
| Amount: | $527,000
|
| Maturity: | March 18, 2024
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| Coupon: | 5.85% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon if all indexes finish above knock-in levels; otherwise, 1% loss for each 1% decline of worst performing index from initial level
|
| Call option: | After six months, automatically at par plus coupon if each index closes above initial level on any quarterly observation date after six months
|
| Initial levels: | 3,340.97 for S&P, 27,665.64 for Dow, 1,497.271 for Russell
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| Coupon barrier levels: | 2,338.679 for S&P, 19,365.948 for Dow, 1,048.089 for Russell, 70% of initial levels
|
| Knock-in levels: | 1,837.5335 for S&P, 15,216.102 for Dow, 823.49905 for Russell, 55% of initial levels
|
| Pricing date: | Sept. 11
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| Settlement date: | Sept. 16
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.95%
|
| Cusip: | 22552WK79
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