Published on 2/18/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $20 million contingent coupon autocallable notes on indexes
By Taylor Fox
New York, Feb. 18 – Credit Suisse AG, London Branch priced $20 million of market-linked securities – autocallable with contingent coupon and contingent downside due Jan. 29, 2025 linked to the lowest performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.75% if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly call date starting after six months.
The payout at maturity will be par unless any index finishes below its 75% threshold level, in which case investors will be fully exposed to the losses of the least-performing index.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index and S&P 500
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| Amount: | $20,002,000
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| Maturity: | Jan. 29, 2025
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| Coupon: | 8.75% annual rate, payable quarterly, 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 if each index closes above initial level on any quarterly call date after six months
|
| Initial levels: | 3,787.38 for S&P, 30,603.36 for Dow and 2,106.609 for Russell
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| Coupon barrier levels: | 2,840.535 for S&P, 22,952.52 for Dow and 1,579.95675; 75% of initial levels
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| Threshold levels: | 2,840.535 for S&P, 22,952.52 for Dow and 1,579.95675; 75% of initial levels
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| Pricing date: | Jan. 28
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| Settlement date: | Feb. 2
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.18%
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| Cusip: | 22552X5U3
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