Published on 7/16/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $550,000 contingent coupon autocallable yield notes on three indexes
By William Gullotti
Buffalo, N.Y., July 16 – Credit Suisse AG, London Branch priced $550,000 of contingent coupon autocallable yield notes due July 16, 2026 linked to the least performing of the Nasdaq-100 index, 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 6.25% if each index closes at or above its coupon barrier, 70% 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 unless any index finishes below its 65% 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
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $550,000
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| Maturity: | July 16, 2026
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| Coupon: | 6.25% per year, payable quarterly if each index 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 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
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date after one year
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| Initial levels: | 14,874.54 for Nasdaq, 2,238.864 for Russell, 4,369.21 for S&P
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| Coupon barriers: | 10,412.178 for Nasdaq, 1,567.2048 for Russell, 3,058.447 for S&P; 70% of initial levels
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| Knock-in levels: | 9,668.451 for Nasdaq, 1,455.2616 for Russell, 2,839.9865 for S&P; 65% of initial levels
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| Pricing date: | July 13
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| Settlement date: | July 16
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22552XQD8
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