Published on 2/15/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5 million contingent coupon callable yield notes on three ETFs
By William Gullotti
Buffalo, N.Y., Feb. 15 – Credit Suisse AG, London Branch, priced $5 million of contingent coupon callable yield notes due Feb. 15, 2024 to the performance of the iShares S&P 500 Value ETF, the Financial Select Sector SPDR Fund and the Consumer Staples Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 8.6% per year if each ETF closes at or above its coupon barrier price, 75% of its initial price, on the related observation date.
The notes may be called at par plus any contingent coupon due at the issuer’s option on any quarterly early redemption date after one year.
If the notes are not called and each ETF finishes at or above its 75% knock-in price, the payout at maturity will be par plus the final coupon. Otherwise, investors will be exposed to the decline of the worst performer from its initial price.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying funds: | iShares S&P 500 Value ETF, Financial Select Sector SPDR Fund, Consumer Staples Select Sector SPDR Fund
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| Amount: | $5 million
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| Maturity: | Feb. 15, 2024
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| Coupon: | 8.6% per year, payable quarterly if each underlying ETF closes at or above its coupon barrier price on related observation date
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| Price: | Par
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| Payout at maturity: | If each ETF finishes at or above its knock-in price, par plus final coupon; otherwise, investors will lose 1% for every 1% decline of worst performer from its initial price
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| Call: | Par plus any contingent coupon due on any quarterly early redemption date after one year
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| Initial prices: | $157.21 for S&P ETF, $41.04 for Financial, $76.34 for Consumer
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| Coupon barriers: | $117.9075 for S&P ETF, $30.78 for Financial, $57.255 for Consumer; 75% of initial prices
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| Knock-in prices: | $117.9075 for S&P ETF, $30.78 for Financial, $57.255 for Consumer; 75% of initial prices
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| Strike date: | Feb. 9
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| Pricing date: | Feb. 10
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| Settlement date: | Feb. 15
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22553PJE0
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