Published on 10/25/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $920,000 contingent coupon autocallable yield notes on indexes
By Taylor Fox
New York, Oct. 26 – Credit Suisse AG, London Branch priced $920,000 of contingent coupon autocallable yield notes due June 27, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
Every month, the notes pay a contingent coupon at the rate of 6.2% per year 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 observation date.
The payout at maturity will be par unless any index finishes below its knock-in level, 65% of its initial level, in which case investors will lose 1% for every 1% decline 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, Russell 2000 and Dow Jones industrial average
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| Amount: | $920,000
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| Maturity: | June 27, 2022
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| Coupon: | 6.2% per year, payable monthly if each underlying asset 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 plus any coupon if all indexes finish above knock-in levels; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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| Call option: | Automatically at par plus coupon if each index closes above initial level on any quarterly observation date
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| Initial levels: | 3,315.57 for S&P, 27,288.18 for Dow, 1,496.961 for Russell
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| Coupon barrier levels: | 2,320.899 for S&P, 19,101.726 for Dow, 1,047.8727 for Russell, 70% of initial levels
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| Knock-in levels: | 2,155.1205 for S&P, 17,737.317 for Dow, 973.02465 for Russell, 65% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.225%
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| Cusip: | 22552WLZ6
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