Published on 9/7/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.13 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Sept. 7 – Credit Suisse AG, London Branch priced $1.13 million of contingent coupon autocallable yield notes due June 28, 2024 linked to the least performing of the Nasdaq-100 index, S&P 500 index and S&P MidCap 400 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 5.9% if each index closes at or above its coupon barrier, 75% 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 six months.
The payout at maturity will be par unless any index finishes below its 70% 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 index, S&P 500 index, S&P MidCap 400 index
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| Amount: | $1,130,000
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| Maturity: | June 28, 2024
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| Coupon: | 5.9% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| 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
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date after six months
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| Initial levels: | 14,345.18 for Nasdaq, 4,280.7 for S&P 500, 2,726.48 for S&P MidCap
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| Coupon barriers: | 10,758.885 for Nasdaq, 3,210.525 for S&P 500, 2,044.86 for S&P MidCap; 75% of initial levels
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| Knock-in levels: | 10,041.626 for Nasdaq, 2,996.49 for S&P 500, 1,908.536 for S&P MidCap; 70% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22552XP23
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