Published on 4/9/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $46,000 contingent coupon autocallable yield notes on Nasdaq-100, Russell 2000
By Wendy Van Sickle
Columbus, Ohio, April 9 – Credit Suisse AG, London Branch priced $46,000 of contingent coupon autocallable yield notes due Sept. 30, 2022 linked to the least performing of the Nasdaq-100 index and the Russell 2000 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 7.75% if each index closes at or above its threshold level, 75% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless any index closes 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
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| Underlying indexes: | Nasdaq-100 and Russell 2000
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| Amount: | $46,000
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| Maturity: | Sept. 30, 2022
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| Coupon: | 7.75% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below its knock-in level, in which case full exposure to the losses of the least-performing index
|
| Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 2,221.482 for Russell and 12,979.12 for Nasdaq
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| Coupon barrier levels: | 1,666.1115 for Russell and 9,734.34 for Nasdaq; 75% of initial levels
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| Knock-in levels: | 1,666.1115 for Russell and 9,734.34 for Nasdaq; 75% of initial levels
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| Pricing date: | March 26
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| Settlement date: | March 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.65%
|
| Cusip: | 22552XEJ8
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