Published on 10/8/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.8 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 8 – Credit Suisse AG, London Branch priced $1.8 million of contingent coupon autocallable yield notes due July 23, 2024 linked to the least performing of Russell 2000 index, the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 11.4% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that month.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000, Nasdaq-100 and Euro Stoxx Banks
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| Amount: | $1,799,000
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| Maturity: | July 23, 2024
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| Coupon: | 11.4% per year, payable monthly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its knock-in level, in which case full exposure to the losses of the least-performing index
|
| Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 85.99 for Stoxx, 2,130.68 for Russell and 14,549.09 for Nasdaq
|
| Coupon barriers: | 60.193 for Stoxx, 1,491.476 for Russell and 10,184.363 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 60.193 for Stoxx, 1,491.476 for Russell and 10,184.363 for Nasdaq; 70% of initial levels
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| Pricing date: | July 20
|
| Settlement date: | July 23
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.6%
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| Cusip: | 22552XR88
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