Published on 11/24/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3 million trigger autocallable contingent yield notes on indexes
By William Gullotti
Buffalo, N.Y., Nov. 24 – Credit Suisse AG, London Branch priced $3 million of trigger autocallable contingent yield notes due Nov. 14, 2024 linked to the least performing of the Nasdaq-100 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at the rate of 6.2% per year if each index closes at or above its coupon barrier, 72% of its initial level, on the related observation date.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level on any quarterly call observation date after six months.
If the notes are not called and the final level of each index is greater than or equal to the downside threshold level, 72% of the initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the worst performer declines from its initial level.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Nasdaq-100 index, Euro Stoxx 50 index
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| Amount: | $3 million
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| Maturity: | Nov. 14, 2024
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| Coupon: | 6.2% per year, paid quarterly, if each index closes at or above its coupon barrier on any related observation date
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| Price: | Par of $10
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| Payout at maturity: | Par plus final coupon unless any index finishes below downside threshold level, in which case 1% loss for each 1% decline of laggard index from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | 16,336.03 for Nasdaq, 4,352.53 for Stoxx
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| Coupon barrier levels: | 11,761.94 for Nasdaq, 3,133.82 for Stoxx; 72% of initial levels
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| Downside thresholds: | 11,761.94 for Nasdaq, 3,133.82 for Stoxx; 72% of initial levels
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| Pricing date: | Nov. 8
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| Settlement date: | Nov. 12
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| Agent: | UBS Financial Services Inc.
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| Fees: | 2%
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| Cusip: | 22551G564
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