Published on 11/9/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million contingent coupon autocallable yield notes on three stocks
By William Gullotti
Buffalo, N.Y., Nov. 9 – Credit Suisse AG, London Branch priced $2 million of contingent coupon autocallable yield notes due Aug. 3, 2027 linked to the least performing of the stocks of Facebook, Inc., Snowflake Inc. and Spirit AeroSystems Holdings, 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 20% if each stock closes at or above its coupon barrier, 65% 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.
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 55% knock-in level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the losses of the least-performing stock.
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: | Facebook, Inc., Snowflake Inc., Spirit AeroSystems Holdings, Inc.
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| Amount: | $2 million
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| Maturity: | Aug. 3, 2027
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| Coupon: | 20% 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 all stocks finish at or above coupon barrier; if worst performer finishes below coupon barrier but at or above its knock-in level, par; otherwise, full exposure to decline of the least-performing stock 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
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| Initial levels: | $358.32 for Facebook, $268.26 for Snowflake, $44.46 for Spirit
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| Coupon barriers: | $232.908 for Facebook, $174.369 for Snowflake, $28.899 for Spirit; 65% of initial levels
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| Knock-in levels: | $197.076 for Facebook, $147.543 for Snowflake, $24.453 for Spirit; 55% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.1%
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| Cusip: | 22552XRZ8
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