Chicago, May 25 – Credit Suisse AG, London Branch priced $1.3 million of contingent coupon autocallable yield notes due May 2, 2023 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 6.5% 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 monthly autocall observation date after six months.
If the notes are not called and each index finishes at or above its 70% knock-in level on every day during the life of the notes, the payout at maturity will be par.
Otherwise, investors will be fully exposed to the return of the worst performer from its initial level, capped at par.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $1,298,000
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| Maturity: | May 2, 2023
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| Coupon: | 6.5% per year, payable monthly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par if neither index ever closes below its knock-in level during the life of the notes; otherwise, exposure to final return of index with maximum payout of par
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any monthly autocall observation date after six months
|
| Initial levels: | 4605.38 for S&P, 2297.191 for Russell
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| Coupon barriers: | 3223.766 for S&P, 1608.0337 for Russell; 70% of initial levels
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| Knock-in levels: | 3223.766 for S&P, 1608.0337 for Russell; 70% of initial levels
|
| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 2, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.4%
|
| Cusip: | 22552XZ89
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