Published on 12/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.69 million contingent coupon autocallable notes on indexes
By Taylor Fox
New York, Dec. 24 – Credit Suisse AG, London Branch, priced $3.69 million of contingent coupon autocallable yield notes due March 10, 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 10.85% 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 at par if all indexes finish above their initial levels on any quarterly trigger observation date.
The payout at maturity will be par unless any index finishes below its 70% knock-in level during the life of the notes, in which case investors will be exposed to the decline of the final value of the least-performing index from its initial level, capped at par.
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: | $3,688,000
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Maturity: | March 10, 2022
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Coupon: | 10.85% annual rate, payable quarterly if each underlying asset 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 at any point during the life of the notes, in which case exposure to decline of final value of least-performing index, capped at par
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Call: | Automatically called if all indexes finish above their initial levels on any quarterly trigger observation date
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Initial levels: | 12,596.47 for Nasdaq, 3,691.96 for S&P, 1,891.252 for Russell
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Coupon barriers: | 8,817.529 for Nasdaq, 2,584.372 for S&P, 1,323.8764 for Russell; 70% of initial levels
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Knock-in levels: | 8,817.529 for Nasdaq, 2,584.372 for S&P, 1,323.8764 for Russell; 70% of initial levels
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Pricing date: | Dec. 7
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Settlement date: | Dec. 10
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.725%
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Cusip: | 22552WWQ4
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