Published on 9/3/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $13.98 million contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Sept. 3 – Credit Suisse AG, London Branch priced $13.98 million of contingent coupon autocallable yield notes due Sept. 6, 2022 linked to the lowest performing of the S&P 500 index, the Nasdaq-100 index and the SPDR S&P Midcap 400 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 11% if each asset closes at or above its barrier level, 75% of its initial level, on a related observation date.
The notes will be called at par if each asset closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any asset finishes below its 75% knock-in level, in which case investors will fully participate in the return of least-performing asset.
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 index, Nasdaq-100 index and SPDR S&P Midcap 400 ETF trust
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| Amount: | $13,976,000
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| Maturity: | Sept. 6, 2022
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| Coupon: | 11% per year, payable quarterly if each asset 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 asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset
|
| Call: | At par if each asset closes above initial level on any quarterly trigger observation date
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| Initial levels: | 3,500.31 for S&P, $351.40 for ETF, 12,331.92 for Nasdaq
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| Coupon barrier levels: | 2,625.2325 for S&P, $263.55 for ETF, 9,083.02 for Nasdaq, 75% of initial levels
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| Knock-in levels: | 2,625.2325 for S&P, $263.55 for ETF, 9,083.02 for Nasdaq, 75% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 4
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22552WGM1
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