Published on 12/19/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $750,000 contingent coupon autocallable yield notes on indexes
By Taylor Fox
New York, Dec. 21 – Credit Suisse AG, London Branch priced $750,000 of contingent coupon autocallable yield notes due June 20, 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 5.85% 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 each index closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any index finishes below its 60% 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 autocallable yield notes
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Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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Amount: | $750,000
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Maturity: | June 20, 2022
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Coupon: | 5.85% annual rate, 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 if each index closes above initial level on any quarterly call date
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Initial levels: | 3,694.62 for S&P, 1,959.763 for Russell and 12,595.92 for Nasdaq
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Coupon barrier levels: | 2,586.234 for S&P, 1,371.8341 for Russell, and 8,817.144 for Nasdaq; 70% of initial levels
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Knock-in levels: | 2,216.772 for S&P, 1,175.8578 for Russell, and 7,557.552 for Nasdaq; 60% of initial levels
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Pricing date: | Dec. 15
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Settlement date: | Dec. 18
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.6%
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Cusip: | 22552WXR1
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