Published on 1/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $680,000 contingent coupon autocallable yield notes on indexes
By Cady Vishniac
Detroit, Jan. 5 – Credit Suisse AG, London Branch priced $680,000 of contingent coupon autocallable yield notes due Sept. 28, 2022 linked to the lowest performing of the Russell 2000 index, the Dow Jones Industrial Average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 6.5% 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 plus the coupon due if all indexes close at or above their initial levels on any quarterly observation date.
The payout at maturity will be par unless any index finishes below its knock-in level, 70% of the initial level, in which case investors will be fully exposed to the 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: | Russell 2000 index, Dow Jones Industrial Average and Nasdaq-100 index
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| Amount: $680,000
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| Maturity: | Sept. 28, 2022
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| Coupon: | 6.5% per year, payable quarterly if each index closes at or above its coupon barrier level on the related observation date
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due unless any index finishes below its knock-in level, in which case full exposure to decline of least performing index
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| Call: | At par plus the coupon due if all indexes close at or above their initial levels on any quarterly observation date
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| Initial levels: | 1,989.880 for Russell, 30,015.51 for Dow and 12,717.56 for Nasdaq
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| Knock-in/coupon barrier levels: | 1,392.916 for Russell, 21,010.857 for Dow and 8,902.292 for Nasdaq; 70% of initial levels
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.225%
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| Cusip: | 22552WZD0
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