Published on 11/16/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $500,000 contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 16 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due May 4, 2022 linked to the lowest performing of the S&P 500 index, the Dow Jones industrial average 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 8.5% 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 after six months.
The payout at maturity will be par unless any index closes below its 60% 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 subject to a maximum payout of par.
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, Dow Jones industrial average and Russell 2000
|
| Amount: | $500,000
|
| Maturity: | May 4, 2022
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any index closes 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 subject to a maximum payout of par
|
| Call: | Automatically at par if each index closes above initial level on any quarterly call date after six months
|
| Initial levels: | 3,269.96 for S&P, 1,538.479 for Russell, 26,501.6 Dow
|
| Coupon barrier levels: | 2,288.972 for S&P, 1,076.9353 for Russell and 18,551.12 for Dow; 70% of initial levels
|
| Knock-in levels: | 1,961.976 for S&P, 923.0874 for Russell and 15,900.96 for Dow; 60% of initial levels
|
| Pricing date: | Oct. 30
|
| Settlement date: | Nov. 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.725%
|
| Cusip: | 22552WR64
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