Published on 11/25/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.11 million contingent coupon autocallable notes on indexes
By Taylor Fox
New York, Nov. 25 – Credit Suisse AG, London Branch, priced $2.11 million of contingent coupon autocallable yield notes due Nov. 25, 2022 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called if both indexes finish above their initial levels on any quarterly trigger observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index and Russell 2000 index
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| Amount: | $2,105,000
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| Maturity: | Nov. 25, 2022
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| Coupon: | 5% annual rate, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case exposure to decline of least-performing index
|
| Call: | Automatically called if both indexes finish above their initial levels on any quarterly trigger observation date after six months
|
| Initial levels: | 11,977.49 for Nasdaq, 3,609.53 for S&P, 1,791.914 for Russell
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| Coupon barriers: | 8,384.243 for Nasdaq, 2,526.671 for S&P, 1,254.3398 for Russell; 70% of initial levels
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| Knock-in levels: | 8,384.243 for Nasdaq, 2,526.671 for S&P, 1,254.3398 for Russell; 70% of initial levels
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.65%
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| Cusip: | 22552WST3
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