Published on 9/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $600,000 contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, Sept. 24 – Credit Suisse AG, London Branch priced $600,000 of contingent coupon autocallable yield notes due March 23, 2022 linked to the lowest performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 9.2% 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 call date.
The payout at maturity will be par unless any index finishes below its 65% 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: | S&P 500, Euro Stoxx 50 and Russell 2000
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Amount: | $600,000
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Maturity: | March 23, 2022
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Coupon: | 9.2% 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, 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: | 3,319.47 for S&P, 1,536.779 for Russell, ,3283.69 for Stoxx
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Coupon barrier levels: | 2,323.629 for S&P, 1,075.7453 for Russell and 2,298.583 for Stoxx; 70% of initial levels
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Knock-in levels: | 2,157.6555 for S&P, 998.90635 for Russell and 2,134.3985 for Stoxx; 65% of initial levels
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Pricing date: | Sept. 18
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Settlement date: | Sept. 23
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.6%
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Cusip: | 22552WLS2
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