Published on 6/30/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $310,000 contingent coupon autocallable yield notes on three stocks
By Kiku Steinfeld
Chicago, June 30 – Credit Suisse AG, London Branch priced $310,000 of contingent coupon autocallable yield notes due Dec. 27, 2024 linked to the least performing of the stocks of Advance Auto Parts, Inc., D.R. Horton, Inc. and Diamondback Energy, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 15.6% if each stock closes at or above its coupon barrier, 50% of its initial level, on the observation date for that period.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly autocall observation date after six months.
The payout at maturity will be par plus the final coupon if each stock finishes at or above its 50% knock-in level.
Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
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 stocks: | Advance Auto Parts, Inc., D.R. Horton, Inc. and Diamondback Energy, Inc.
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Amount: | $310,000
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Maturity: | Dec. 27, 2024
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Coupon: | 15.6% per year, payable quarterly if each stock closes at or above its coupon barrier level on related observation date
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Price: | Par
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Payout at maturity: | Par plus final coupon if each stock finishes at or above its knock-in barrier; otherwise, full exposure to decline of the worst performer from its initial level
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Call: | Automatically at par plus coupon if each stock closes at or above initial level on any quarterly autocall observation date after six months
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Initial levels: | $232.79 for Advance, $105.58 for D.R. Horton, $105.69 for Diamondback
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Coupon barriers: | $116.395 for Advance, $52.79 for D.R. Horton, $52.845 for Diamondback; 50% of initial levels
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Knock-in levels: | $116.395 for Advance, $52.79 for D.R. Horton, $52.845 for Diamondback; 50% 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: | 0%
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Cusip: | 22553PCQ0
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