Published on 7/10/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $604,000 contingent coupon autocallables linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., July 10 – Credit Suisse AG, London Branch priced $604,000 of contingent coupon autocallable yield notes due Feb. 5, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at the rate of 13.8% per year if each index closes at or above its knock-in level, 75% of its initial level, on the observation date for that quarter.
Beginning Jan. 31, 2023, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless either index closes below its knock-in level during the life of the notes, in which case the payout will be par plus the return of the lesser-performing index, subject to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| 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 and Russell 2000
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| Amount: | $604,000
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| Maturity: | Feb. 5, 2024
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 13.8% per year unless either index closes below knock-in level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless either index closes below knock-in level during life of notes, in which case par plus return of lesser-performing index, subject to maximum payout of par
|
| Call: | Beginning Jan. 31, 2023, automatically at par if each index closes at or above initial level on any quarterly observation date
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| Initial levels: | 4,130.29 for S&P and 1,885.23 for Russell
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| Knock-in levels: | 3,097.7175 for S&P and 1,413.9225 for Russell, or 75% of initial levels
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| Pricing date: | July 29, 2022
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| Settlement date: | Aug. 3, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.9%
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| Cusip: | 22553QBS5
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