Published on 7/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $600,000 contingent coupon buffered autocalls on indexes, ETF
By William Gullotti
Buffalo, N.Y., July 22 – Credit Suisse AG, London Branch priced $600,000 of contingent coupon buffered autocallable yield notes due July 22, 2024 linked to the performance of the Russell 2000 index, the Nasdaq-100 index and the Invesco S&P 500 High Beta ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8.5% if each underlier closes at or above its 80% coupon barrier on the related quarterly observation date.
The notes will be called at par if each underlier closes at or above its initial level on any quarterly call observation date after six months.
The payout at maturity will be par unless any underlier falls by more than 20%, in which case investors will lose 1.25% for each 1% decline of the worst performer beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying assets: | Nasdaq-100 index, Russell 2000 index, Invesco S&P 500 High Beta ETF
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| Amount: | $600,000
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| Maturity: | July 22, 2024
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| Coupon: | 8.5% annualized, payable quarterly if each underlier closes at or above its coupon barrier on related quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless any underlier falls by more than 20%, in which case 1.25% loss for each 1% decline of the worst performer beyond 20%
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| Call: | At par if each underlier closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | $71.94 for ETF, 14,794.69 for Nasdaq, 2,190.293 for Russell
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| Coupon barriers/buffer levels: | $57.552 for ETF, 11,835.752 for Nasdaq, 1,752.2344 for Russell; 80% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | July 15
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| Settlement date: | July 20
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| Fees: | 0.5%
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| Cusip: | 22552XQA4
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