Published on 12/17/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.15 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Dec. 17 – Credit Suisse AG, London Branch priced $3.15 million of contingent coupon autocallable yield notes due June 15, 2023 linked to the least performing of the Russell 2000 index and S&P 500 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 6.6% if each index closes at or above its coupon barrier, 75% of its initial level, on the observation date for that period.
The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly trigger observation date after one year.
The payout at maturity will be par plus the final coupon unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | Russell 2000 index, S&P 500 index
|
| Amount: | $3,148,000
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| Maturity: | June 15, 2023
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| Coupon: | 6.6% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless any index finishes below its knock-in level, in which case full exposure to the decline of the least-performing index from its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date after one year
|
| Initial levels: | 2,211.806 for Russell, 4,712.02 for S&P
|
| Coupon barriers: | 1,658.8545 for Russell, 3,534.015 for S&P; 75% of initial levels
|
| Knock-in levels: | 1,658.8545 for Russell, 3,534.015 for S&P; 75% of initial levels
|
| Pricing date: | Dec. 10
|
| Settlement date: | Dec. 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.4%
|
| Cusip: | 22553P6S3
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