Published on 5/30/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $678,000 contingent coupon autocallable yield notes on three stocks
By Kiku Steinfeld
Chicago, May 31 – Credit Suisse AG, London Branch priced $678,000 of contingent coupon autocallable yield notes due Nov. 4, 2024 linked to the least performing of the stocks of Meta Platforms, Inc., Roku, Inc. and Tesla, 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 24.75% if each stock closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par plus 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 the final coupon if each stock finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 60% knock-in level, the payout at maturity will be par. Otherwise, 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
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| Underlying stocks: | Meta Platforms, Inc., Roku, Inc. and Tesla, Inc.
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| Amount: | $678,000
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| Maturity: | Nov. 4, 2024
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| Coupon: | 24.75% 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 plus the final coupon if each stock finishes at or above its coupon barrier; if worst performer finishes below coupon barrier but not below its knock-in level, par; otherwise, full exposure to decline of the worst performer from its 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: | $323.57 for Meta, $304.90 for Roku, $1,114 for Tesla
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| Coupon barriers: | $226.499 for Meta, $213.43 for Roku, $779.80 for Tesla; 70% of initial levels
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| Knock-in levels: | $194.142 for Meta, $182.94 for Roku, $668.40 for Tesla; 60% of initial levels
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| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 2, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.25%
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| Cusip: | 22552XZV8
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