Published on 3/18/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $565,000 contingent coupon yield notes on ETF, indexes
By Taylor Fox
New York, March 18 – Credit Suisse AG, London Branch priced $565,000 of contingent coupon yield notes due Sept. 12, 2022 linked to the lowest performing of the S&P 500 index, the iShares MSCI Emerging Markets exchange-traded fund and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a semiannual coupon at an annualized rate of 8.05% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that period.
Credit Suisse may redeem the notes at par on any coupon payment date.
The payout at maturity will be par unless any underlier finishes below its 70% knock-in level, in which case investors will be exposed to any losses of the least-performing underlier.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon yield notes
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| Underlying assets: | S&P 500 index, iShares MSCI Emerging Markets exchange-traded fund and Russell 2000 index
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| Amount: | $565,000
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| Maturity: | Sept. 12, 2022
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| Coupon: | 8.05% per year, payable semiannually if each underlier closes at or above its coupon barrier level on the observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any underlier finishes below its knock-in level, in which case investors will be exposed to any losses of least performing underlier
|
| Call option: | At par on any coupon payment date
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| Initial levels: | 3,841.94 for S&P, $53.83 for iShares EM and 2,192.212 for Russell
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| Coupon barrier levels: | 2,689.358 for S&P, $37.681 for iShares EM and 1,534.5485 for Russell; 70% of initial levels
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| Knock-in levels: | 2,689.358 for S&P, $37.681 for iShares EM and 1,534.5485 for Russell; 70% of initial levels
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| Pricing date: | March 8
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| Settlement date: | March 11
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 0.3%
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| Cusip: | 22552XFS7
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