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Published on 10/5/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $5.51 million contingent coupon callable yield notes on three stocks

By William Gullotti

Buffalo, N.Y., Oct. 5 – Credit Suisse AG, London Branch, priced $5.51 million of contingent coupon callable yield notes due Oct. 5, 2026 to the least performing of the stocks of Citigroup Inc., Comerica Inc. and First Horizon Corp., according to a 424B2 filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at the rate of 12.25% per year if each stock closes at or above its coupon barrier price, 70% of its initial price, on the related observation date.

The notes may be called at par plus any contingent coupon due at the issuer’s option on any quarterly early redemption date.

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 the coupon barrier but at or above its 60% knock-in price, the payout at maturity will be par. Otherwise, in which case investors will be exposed to the decline of the worst performer from its initial price.

Incapital LLC is the placement agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon callable yield notes
Underlying stocks:Citigroup Inc., Comerica Inc., First Horizon Corp.
Amount:$5,507,000
Maturity:Oct. 5, 2026
Coupon:12.25% per year, payable quarterly if each underlying asset closes at or above its coupon barrier price on related observation date
Price:Par
Payout at maturity:If all stocks finish at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above its knock-in price, par; otherwise, 1% loss for every 1% decline of worst performer from initial level
Call:Par plus any coupon due on any quarterly early redemption date
Initial prices:$71.53 for Citi, $82.52 for Comerica, $16.60 for First Horizon
Coupon barrier prices:$50.071 for Citi, $57.764 for Comerica, $11.62 for First Horizon; 70% of initial prices
Knock-in prices:$42.918 for Citi, $49.512 for Comerica, $9.96 for First Horizon; 60% of initial prices
Pricing date:Sept. 29
Settlement date:Oct. 4
Placement agent:Incapital LLC
Fees:3.65%
Cusip:22552XVA8

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