Published on 1/13/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.25 million contingent coupon callable yield notes on three indexes
By William Gullotti
Buffalo, N.Y., Aug. 13 – Credit Suisse AG, London Branch, priced $1.25 million of contingent coupon callable yield notes due Aug. 27, 2024 linked to the least performing of the Euro Stoxx Banks index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 7.25% 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 level.
If the worst performer finishes below its coupon barrier but not below its 65% 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: | Euro Stoxx Banks index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $1.25 million
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| Maturity: | Aug. 27, 2024
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| Coupon: | 7.25% 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 at or above 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: | 2,239.269 for Russell, 97.83 for Stoxx Banks, 15,368.92 for Nasdaq
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| Coupon barrier levels: | 1,567.4883 for Russell, 68.481 for Stoxx Banks, 10,758.244 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 1,455.52485 for Russell, 63.5895 for Stoxx Banks, 9,989.798 for Nasdaq, 65% of initial levels
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| Pricing date: | Aug. 25
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| Settlement date: | Aug. 27
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22552XTN3
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