Published on 4/9/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.59 million contingent coupon autocallable yield notes on S&P 500, Russell 2000
By Wendy Van Sickle
Columbus, Ohio, April 9 – Credit Suisse AG, London Branch priced $1.59 million of contingent coupon autocallable yield notes due Sept. 30, 2022 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 6.25% if each index closes at or above its threshold level, 70% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any index closes below its 70% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
The agents are Credit Suisse Securities (USA) LLC and InCapital LLC.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1.59 million
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| Maturity: | Sept. 30, 2022
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| Coupon: | 6.25% per year, payable quarterly if each index 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 index finishes below its knock-in level, in which case full exposure to the losses of the least-performing index
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| Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date
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| Initial levels: | 2,221.482 for Russell and 3,974.54 for S&P
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| Coupon barrier levels: | 1,555.0374 for Russell and 2,782.178 for S&P; 70% of initial levels
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| Knock-in levels: | 1,555.0374 for Russell and 2,782.178 for S&P; 70% of initial levels
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| Pricing date: | March 26
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| Settlement date: | March 31
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| Agents: | Credit Suisse Securities (USA) LLC and InCapital LLC
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| Fees: | 2.125%
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| Cusip: | 22552XEY5
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