Published on 11/25/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.03 million contingent coupon autocallable notes on S&P, Russell
By Taylor Fox
New York, Nov. 25 – Credit Suisse AG, London Branch priced $1.03 million of contingent coupon autocallable yield notes due Feb. 22, 2022 linked to the least performing of 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 7.65% per year if each index closes at or above its coupon barrier level, 60% 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 three months.
The payout at maturity will be par unless any index finishes below its 60% 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
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $1,028,000
|
| Maturity: | Feb. 22, 2022
|
| Coupon: | 7.65% annual rate, payable quarterly if each underlying index closes at or above its coupon barrier level on related observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below knock-in level, in which case exposure to decline of least-performing index
|
| Call option: | Automatically called if both indexes finish above their initial levels on any quarterly trigger observation date
|
| Initial levels: | 3,609.53 for S&P, 1,791.914 for Russell
|
| Coupon barriers: | 2,165.718 for S&P, 1,075.1484 for Russell; 60% of initial levels
|
| Knock-in levels: | 2,165.718 for S&P, 1,075.1484 for Russell; 60% of initial levels
|
| Pricing date: | Nov. 17
|
| Settlement date: | Nov. 20
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22552WTH8
|
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