Published on 9/14/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.32 million contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 14 – Credit Suisse AG, London Branch priced $2.32 million of contingent coupon autocallable yield notes due March 3, 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.
Every quarter, the notes pay a contingent coupon at the rate of 8.75% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on every day that period.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon unless any index finishes below its knock-in level, 75% of its initial level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
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 indexes: | S&P 500 index and Russell 2000 index
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Amount: | $2,315,000
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Maturity: | March 3, 2023
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Coupon: | 8.75% per year, payable quarterly if each underlying index closes at or above its coupon barrier level on every day that period
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Price: | Par
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Payout at maturity: | Par plus the final coupon unless any index finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level
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Call option: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly observation date after six months
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Initial levels: | 4,522.68 for S&P, 2,273.774 for Russell
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Coupon barrier levels: | 3,392.01 for S&P, 1,755.3305 for Russell; 75% of initial levels
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Knock-in levels: | 3,392.01 for S&P, 1,755.3305 for Russell; 75% of initial levels
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Pricing date: | Aug. 31
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Settlement date: | Sept. 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.15%
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Cusip: | 22552XSS3
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