Published on 12/31/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.77 million contingent coupon autocallable yield notes on index, ETFs
By William Gullotti
Buffalo, N.Y., Dec. 31 – Credit Suisse AG, London Branch priced $1.29 million of contingent coupon autocallable yield notes due Dec. 29, 2026 linked to the lowest performing of the SPDR Euro Stoxx 50 ETF, the Dow Jones industrial average and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 11% if each underlier closes at or above its coupon barrier level, 70% of its initial level, on a quarterly 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.
The payout at maturity will be par plus the final coupon if each underlier finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 65% knock-in level, the payout at maturity will be par. Otherwise, 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
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying assets: | SPDR Euro Stoxx 50 ETF, Dow Jones industrial average, iShares MSCI Emerging Markets ETF
|
| Amount: | $2,769,000
|
| Maturity: | Dec. 29, 2026
|
| Coupon: | 11% per year, payable quarterly if each underlier closes at or above its barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless any underlier finishes below its coupon barrier; if worst performer finishes below its coupon barrier but at or above knock-in level, par; otherwise, 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
|
| Initial levels: | $48.72 for EM ETF, $46.30 for Stoxx ETF, 35,950.56 for Dow
|
| Coupon barrier levels: | $34.104 for EM ETF, $32.41 for Stoxx ETF, 25,165.392 for Dow; 70% of initial levels
|
| Knock-in levels: | $31.668 for EM ETF, $30.095 for Stoxx ETF, 23,367.864 for Dow; 65% of initial levels
|
| Pricing date: | Dec. 23
|
| Settlement date: | Dec. 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.5%
|
| Cusip: | 22553PD97
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
