Published on 12/21/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $12 million trigger autocallable contingent yield notes on two indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 21 – Credit Suisse AG, London Branch priced $12 million of trigger autocallable contingent yield notes due Dec. 7, 2026 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at the rate of 9% per year if each index closes at or above its coupon barrier, 80% of its initial level, on the related observation date.
The notes will be automatically called at par plus coupon if each index closes at or above its initial level on any annual call observation date.
If the notes are not called and the final level of each index is greater than or equal to the downside threshold level, 65% of the initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the worst performer declines from its initial level.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $12 million
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| Maturity: | Dec. 7, 2026
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| Coupon: | 9% per year, paid quarterly, if each index closes at or above its coupon barrier on any related observation date
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| Price: | Par of $10
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| Payout at maturity: | Par plus final coupon unless any index finishes below downside threshold level, in which case 1% loss for each 1% decline of laggard index from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any | annual call observation date
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| Initial levels: | 4,577.1 for S&P, 2,206.333 for Russell
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| Coupon barrier levels: | 3,661.68 for S&P, 1,765.066 for Russell; 80% of initial levels
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| Downside thresholds: | 2,975.12 for S&P, 1,434.116 for Russell; 65% of initial levels
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| Pricing date: | Dec. 2
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| Settlement date: | Dec. 7
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| Agent: | UBS Financial Services Inc.
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| Fees: | 0%
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| Cusip: | 22551G812
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