Published on 6/30/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $339,000 contingent coupon autocallable yield notes on two indexes
By Kiku Steinfeld
Chicago, June 30 – Credit Suisse AG, London Branch priced $339,000 of contingent coupon autocallable yield notes due June 27, 2023 linked to the least performing of the S&P 500 index and the Russell 2000 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 9.1% if each index closes at or above its coupon barrier, 70% 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 autocall observation date after six months.
The payout at maturity will be par unless any index closes below its 70% knock-in level during the life of the notes and any index finishes below its initial 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
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $339,000
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Maturity: | June 27, 2023
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Coupon: | 9.1% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless any index closes below its 70% knock-in level during the life of the notes and any index finishes below its initial level, in which case full exposure to the decline of the least-performing index from its initial level
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Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly autocall observation date after six months
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Initial levels: | 2221.903 for Russell, 4696.56 for S&P
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Coupon barriers: | 1666.42725 for Russell, 3522.42 for S&P; 70% of initial levels
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Knock-in levels: | 1666.42725 for Russell, 3522.42 for S&P; 70% of initial levels
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Pricing date: | Dec. 22, 2021
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Settlement date: | Dec. 28, 2021
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.15%
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Cusip: | 22553PA58
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