Published on 12/10/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3 million contingent coupon callable yield notes on index, ETF
By William Gullotti
Buffalo, N.Y., Dec. 10 – Credit Suisse AG, London Branch priced $3 million of contingent coupon callable yield notes due Dec. 10, 2026 linked to the lowest performing of the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 7.6% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the relevant observation date.
At the issuer’s option, the notes may be called at par on any quarterly observation date after one year.
The payout at maturity will be par plus the final coupon unless any underlier finishes below its 75% knock-in level, in which case investors will be fully exposed to the decline of the worst performer from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | Russell 2000 index, iShares MSCI Emerging Markets ETF
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| Amount: | $3 million
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| Maturity: | Dec. 10, 2026
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| Coupon: | 7.6% per year, payable quarterly if each underlier closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any underlier finishes below its knock-in level, in which case full exposure to any losses of the worst performer
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| Call: | At par on any quarterly observation date after one year
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| Initial levels: | $49.30 for ETF, 2,203.479 for Russell
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| Coupon barrier/knock-in levels: | $36.975 for ETF, 1,652.60925 for Russell; 75% of initial levels
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| Strike date: | Dec. 6
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| Pricing date: | Dec. 7
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| Settlement date: | Dec. 10
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.6%
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| Cusip: | 22553PBL2
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