Published on 2/7/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.33 million contingent coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 8 – Credit Suisse AG, London Branch priced $1.33 million of contingent coupon callable yield notes due Oct. 27, 2022 linked to the lowest performing of the 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 coupon at an annualized rate of 7% 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 callable monthly at par after three months.
The payout at maturity will be par unless any index finishes below its 70% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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| Amount: | $1,328,000
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| Maturity: | Oct. 27, 2022
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| Coupon: | 7% per year, payable monthly if each index 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 its knock-in level, in which case full exposure to the losses of the least-performing index
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| Call: | At par on any monthly call date after three months
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| Initial levels: | 3,841.47 for S&P, 2,168.758 for Russell and 13,366.4 for Nasdaq
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| Coupon barrier levels: | 2,689.029 for S&P, 1,518.1306 for Russell and 9,356.48 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 2,689.029 for S&P, 1,518.1306 for Russell and 9,356.48 for Nasdaq; 70% of initial levels
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| Pricing date: | Jan. 22
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| Settlement date: | Jan. 27
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.225%
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| Cusip: | 22552X6A6
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