Published on 11/18/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, Nov. 18 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due March 21, 2025 linked to the least performing of the Russell 200 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 8.65% if each index closes at or above its coupon barrier, 60% 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 monthly trigger observation date after six months.
If the notes are not called and each index finishes at or above its 60% knock-in level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the 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 indexes: | Russell 200 index, Nasdaq-100 index, Dow Jones industrial average
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Amount: | $1 million
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Maturity: | March 21, 2025
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Coupon: | 8.65% per year, payable monthly 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: | If each index finishes at or above knock-in level, par plus final coupon; otherwise, 1% loss for every 1% decline of the worst performer 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 monthly trigger observation date after six months
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Initial levels: | 34,063.10 for Dow, 13,956.79 for Nasdaq, 2,030.720 for Russell
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Coupon barriers: | 20,437.86 for Dow, 8,374.074 for Nasdaq, 1,218.432 for Russell; 60% of initial levels
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Knock-in levels: | 20,437.86 for Dow, 8,374.074 for Nasdaq, 1,218.432 for Russell; 60% of initial levels
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Pricing date: | March 16
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Settlement date: | March 21
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.7%
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Cusip: | 22553PNP0
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