Published on 7/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.5 million contingent coupon autocallable yield notes on stocks
By Kiku Steinfeld
Chicago, July 22 – Credit Suisse AG, London Branch priced $2.5 million of contingent coupon autocallable yield notes due Dec. 7, 2022 linked to the least performing of the stocks of Facebook, Inc., Hilton Worldwide Holdings Inc. and Twilio Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 6.5% if each stock closes at or above its coupon barrier, 54% of its initial level, on the observation date for that period.
After six months, the notes will be called at par if each stock closes at or above its call level on any quarterly call date. The call level will be set at 95% of each stock’s initial level, stepping down to 92.5% on March 31, 2022 and to 90% on Aug. 30, 2022.
The payout at maturity will be par unless any stock finishes below its 54% knock-in level, in which case investors will be fully exposed to the losses of the least-performing stock.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying stocks: | Facebook, Inc., Hilton Worldwide Holdings Inc. and Twilio Inc.
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| Amount: | $2,495,000
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| Maturity: | Dec. 7, 2022
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| Coupon: | 6.5% per year, payable monthly if each stock 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 stock finishes below its knock-in level, in which case full exposure to the losses of the least-performing stock
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| Call: | Automatically at par if each stock closes at or above its call level on any quarterly call observation date after six months; The call level will be set at 95% of each stock’s initial level, stepping down to 92.5% on March 31, 2022 and to 90% on Aug. 30, 2022
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| Initial levels: | $332.75 for Facebook, $126.27 for Hilton, $338.69 for Twilio
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| Coupon barriers: | $179.685 for Facebook, $68.1858 for Hilton, $182.8926 for Twilio; 54% of initial levels
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| Knock-in levels: | $179.685 for Facebook, $68.1858 for Hilton, $182.8926 for Twilio; 54% of initial levels
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| Pricing date: | May 28
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| Settlement date: | June 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22552XMB6
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