Published on 2/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallable yield notes on indexes
By Taylor Fox
New York, Feb. 22 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due Aug. 12, 2022 linked to the least performing of 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 quarterly contingent coupon at an annual rate of 10.15% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any index finishes below its 70% knock-in level on any day during the life of the notes, in which case investors will be fully exposed to the losses of the least-performing index with a maximum payout of par.
The agent is Credit Suisse Securities (USA) LLC.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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Amount: | $500,000
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Maturity: | Aug. 12, 2022
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Coupon: | 10.15% per year, payable quarterly if each index closes at or above its coupon barrier level on 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 on any day during the life of the notes, in which case full exposure to the losses of the least-performing index with a maximum payout of par
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Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date
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Initial levels: | 3,911.23 for S&P, 2,298.998 for Russell and 13,687.08 for Nasdaq
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Coupon barriers: | 2,737.861 for S&P, 1,609.2986 for Russell and 9,580.956 for Nasdaq; 70% of initial levels
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Knock-in levels: | 2,737.861 for S&P, 1,609.2986 for Russell and 9,580.956 for Nasdaq; 70% of initial levels
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Pricing date: | Feb. 9
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Settlement date: | Feb. 12
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.225%
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Cusip: | 22552XBG7
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