Published on 11/8/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.38 million contingent coupon autocallable yield notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Nov. 8 – Credit Suisse AG, London Branch priced $1.29 million of contingent coupon autocallable yield notes due Nov. 5, 2024 linked to the lowest performing of the Russell 2000 index, the S&P 500 index, the Nasdaq-100 index and the ARK Innovation ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 7.1% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the relevant observation date.
The notes will be called automatically at par plus the coupon if each underlier 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 underlier finishes below its 75% knock-in level, in which case investors will lose 1% for every 1% decline of the worst performer 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 assets: | Russell 2000 index, S&P 500 index, Nasdaq-100 index, ARK Innovation ETF
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| Amount: | $2,384,000
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| Maturity: | Nov. 5, 2024
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| Coupon: | 7.1% per year, payable monthly if each underlier closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any underlier finishes below its knock-in level, in which case lose 1% for every 1% decline of worst performer from its initial level
|
| Call: | Automatically at par plus coupon if each underlier closes at or above its initial level on any quarterly observation date
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| Initial levels: | $125.12 for ETF, 4,613.67 for S&P, 15,905.28 for Nasdaq, 2,358.121 for Russell
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| Coupon barrier/knock-in levels: | $93.84 for ETF, 3,460.2525 for S&P, 11,928.96 for Nasdaq, 1,768.59075 for Russell; 75% of initial levels
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| Pricing date: | Nov. 1
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| Settlement date: | Nov. 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.45%
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| Cusip: | 22552XZN6
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