Published on 6/25/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.2 million contingent coupon autocallable yield notes on index, ETF
By William Gullotti
Buffalo, N.Y., June 25 – Credit Suisse AG, London Branch priced $1.2 million of contingent coupon autocallable yield notes due June 27, 2024 linked to the lowest performing of the Euro Stoxx Banks index and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 10.31% if each asset closes at or above its coupon barrier level, 75% of its initial level, on a quarterly observation date.
The notes will be called automatically at par plus the coupon if each asset closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any asset finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Euro Stoxx Banks index, SPDR S&P Regional Banking ETF
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| Amount: | $1,200,000
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| Maturity: | June 27, 2024
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| Coupon: | 10.31% per year, payable quarterly if each asset closes at or above its 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 knock-in level, in which case full exposure to any losses of the least-performing asset
|
| Call: | Automatically at par plus coupon if each asset closes at or above its initial level on any quarterly observation date
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| Initial levels: | $65.86 for ETF, 94.6 for Stoxx Banks
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| Coupon barrier/knock-in levels: | $49.395 for ETF, 70.95 for Stoxx Banks; 75% of initial levels
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| Pricing date: | June 22
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| Settlement date: | June 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22552XNG4
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