Published on 9/30/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.13 million contingent coupon autocallable yield notes on stocks
By William Gullotti
Buffalo, N.Y., Sept. 30 – Credit Suisse AG, London Branch priced $2.13 million of contingent coupon autocallable yield notes with upper threshold feature due Sept. 24, 2024 linked to the least performing of the stocks of Roku, Inc., Starbucks Corp. and Diamondback Energy, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 13.36% if each stock closes at or above its coupon barrier, 60% of its initial level, on the observation date for that period.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par plus any final coupon due as long as one stock finishes at or above its initial level.
If each stock finishes below its initial level but none finish below its 60% knock-in level, payout at maturity will be par plus the final coupon.
If the worst performer falls below its knock-in level and each stock’s final level is less than its initial level, investors will lose 1% for every 1% decline of the worst performer from its initial level.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes with upper threshold feature
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| Underlying stocks: | Roku, Inc., Starbucks Corp., Diamondback Energy, Inc.
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| Amount: | $2,125,000
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| Maturity: | Sept. 24, 2024
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| Coupon: | 13.36% per year, payable quarterly 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: | If at least one stock’s final level is greater than or equal to its initial level, par plus any final coupon due; if each stock declines up to its knock-in level, par plus final coupon; if worst performer finishes below knock-in and each stock finishes below initial level, lose 1% for every 1% decline of worst performer from initial level
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| Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly trigger observation date after six months
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| Initial levels: | $319.00 for Roku, $112.22 for Starbucks, $80.04 for Diamondback
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| Coupon barriers: | $191.40 for Roku, $67.332 for Starbucks, $48.024 for Diamondback; 60% of initial levels
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| Knock-in levels: | $191.40 for Roku, $67.332 for Starbucks, $48.024 for Diamondback; 60% of initial levels
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| Pricing date: | Sept. 21
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| Settlement date: | Sept. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22552XU27
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