Published on 9/12/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $882,000 of buffered autocallable yield notes on indexes
Chicago, Sept. 12 – Credit Suisse AG, London Branch priced $882,000 of contingent coupon buffered autocallable yield notes due Aug. 31, 2027 linked to the lowest performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a 7.5% monthly contingent coupon if both indexes close above 80% of their initial levels on the related observation date.
The notes will be automatically called at par on any monthly autocall observation date starting after one year if both indexes close above their initial levels.
At maturity, investors will receive par if the least performing index falls by 15% or less and will lose 1% for every 1% that the worst performer declines beyond 15%.
InspereX LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $882,000
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| Maturity: | Aug. 31, 2027
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| Coupon: | 7.5% annual rate, paid monthly if both indexes close above coupon barrier levels on related observation date
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| Price: | Par
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| Payout at maturity: | Par if the least performing index falls by 15% or less; otherwise, 1% loss for every 1% decline that the worst performer declines beyond 15%
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| Call: | Automatically at par on any monthly autocall observation date starting after one year if both indexes close above initial levels
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| Initial levels: | 4057.66 for S&P, 1899.83 for Russell
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| Coupon barrier levels: | 3246.128 for S&P, 1519.864 for Russell; 80% of initial levels
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| Buffer levels: | 3449.011 for S&P, 1614.8555 for Russell; 85% of initial levels
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| Pricing date: | Aug. 26, 2022
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| Settlement date: | Aug. 31, 2022
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| Agent: | InspereX LLC
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| Fees: | 3.9%
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| Cusip: | 22553QHN0
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