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Published on 7/9/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $2.08 million contingent coupon autocallable yield notes on three stocks

By Wendy Van Sickle

Columbus, Ohio, July 9 – Credit Suisse AG, London Branch priced $2.08 million of contingent coupon autocallable yield notes due May 30, 2028 linked to the least performing of the common stocks of Airbnb Inc., Amazon.com, Inc. and Coursera, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Contingent coupons are payable monthly at an annual rate of 23.15% if each stock closes at or above its coupon barrier, 60% of its initial level, on the related observation date.

The notes will be called at par plus the coupon if the shares of the least performing stock close at or above their initial price on any quarterly trigger observation date after six months.

The payout at maturity will be par plus the coupon unless any of the stocks finishes below its 50% knock-in level, in which case investors will be fully exposed to the losses of the worst performing underlying.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable yield notes
Underlying stocks:Airbnb, Inc., Amazon.com, Inc. and Coursera, Inc.
Amount:$2.08 million
Maturity:May 30, 2028
Coupon:23.15% per year, payable monthly if each stock closes above coupon barrier on observation date
Price:Par
Payout at maturity:Par plus coupon unless any stock finishes below knock-in price, in which case full exposure to losses of worst performing underlying
Call:At par if all stocks close at or above initial share prices on any quarterly trigger observation date after six months
Initial prices:$133.99 for Airbnb, $3,259.05 for Amazon.com and $37.08 for Coursera
Coupon barriers:$80.394 for Airbnb, $1,955.43 for Amazon.com and $22.248 for Coursera; 60% of initial levels
Knock-in levels:$66.995 for Airbnb, $1,629.525 for Amazon.com and $18.54 for Coursera; 50% of initial levels
Pricing date:May 25
Settlement date:May 28
Agent:Credit Suisse Securities (USA) LLC
Fees:0.75%
Cusip:22552XLX9

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