Published on 11/16/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.67 million contingent coupon callable yield notes on three indexes
By William Gullotti
Buffalo, N.Y., Nov. 16 – Credit Suisse AG, London Branch, priced $1.67 million of contingent coupon callable yield notes due Nov. 16, 2026 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 7.55% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes are callable, in whole but not in part, at par plus any coupon due on any quarterly observation date.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 60% knock-in level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the worst performer from its initial level.
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 indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $1,667,000
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| Maturity: | Nov. 16, 2026
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| Coupon: | 7.55% per year, payable quarterly if each underlying asset 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 the final coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier but not below knock-in level, par; otherwise, full exposure to decline of worst performer from initial level
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| Call option: | Callable in whole at par plus any coupon due on any quarterly observation date
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| Initial levels: | 2,389.582 for Russell, 4,646.71 for S&P, 36,079.94 for Dow
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| Coupon barrier levels: | 1,672.7074 for Russell, 3,252.697 for S&P, 25,255.958 for Dow; 70% of initial levels
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| Knock-in levels: | 1,433.7492 for Russell, 2,788.026 for S&P, 21,647.964 for Dow; 60% of initial levels
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| Pricing date: | Nov. 10
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| Settlement date: | Nov. 16
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22553P4G1
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