Published on 8/2/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.18 million contingent coupon autocallable notes on index, ETF
By Kiku Steinfeld
Chicago, Aug. 2 – Credit Suisse AG, London Branch priced $2.18 million of contingent coupon autocallable yield notes due July 22, 2024 linked to the lowest performing of the Euro Stoxx Banks index and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 9.8% if each asset closes at or above its coupon barrier level, 75% of its initial level, on a quarterly observation date.
The notes will be called automatically at par plus the coupon if each asset closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any asset finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Euro Stoxx Banks index, Financial Select Sector SPDR fund
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| Amount: | $2,183,000
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| Maturity: | July 22, 2024
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| Coupon: | 9.8% per year, payable quarterly if each asset closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in level, in which case full exposure to any losses of the least-performing asset
|
| Call: | Automatically at par plus coupon if each asset closes at or above its initial level on any quarterly observation date
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| Initial levels: | $36.12 for ETF, 89.25 for Stoxx Banks
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| Coupon barrier/knock-in levels: | $27.09 for ETF, 66.9375 for Stoxx Banks; 75% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22552XQ30
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