Published on 10/26/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.88 million contingent coupon autocallable yield notes on S&P
By Taylor Fox
New York, Oct. 26 – Credit Suisse AG, London Branch, priced $1.88 million of contingent coupon autocallable yield notes due Oct. 12, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above the coupon barrier level, 80% of the initial level, on a quarterly observation date starting on Jan. 5, 2021, the notes will pay a contingent payment for that quarter at a rate of $30.375 per $1,000 plus any previously unpaid coupons.
The notes will be called at par plus the contingent coupon, and any previously unpaid coupons, if the index closes at or above initial price on any quarterly trigger observation date starting Jan. 5, 2021.
If the notes are not called, the payout at maturity will be par plus the coupon(s) unless the index finishes below the 80% knock-in level, in which case investors will lose 1% for each 1% decline of the index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying index: | S&P 500 index
|
| Amount: | $1,875,000
|
| Maturity: | Oct. 12, 2021
|
| Contingent payment: | $30.375 per $1,000 of notes, payable quarterly if index closes at or above coupon barrier level on observation date for that quarter starting on Jan. 5, 2021, plus previously unpaid coupons
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupons due unless the index finishes below knock-in level, in which case investors will lose 1% for each 1% decline of the index
|
| Call: | Automatically at par plus contingent coupon if the index closes at or above its initial level on any quarterly trigger observation date starting Jan. 5, 2021
|
| Initial level: | 3281.06
|
| Coupon barrier/knock-in price: | 2624.85, 80% of initial level
|
| Pricing date: | Sept. 22
|
| Settlement date: | Sept. 25
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22552WMM4
|
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