Published on 1/31/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.56 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Jan. 31 – Credit Suisse AG, London Branch priced $1.56 million of contingent coupon autocallable yield notes due July 31, 2023 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 quarterly contingent coupon at an annual rate of 8.1% if each index closes at or above its coupon barrier, 75% 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 quarterly trigger observation date after six months.
If the notes have not been called, the payout at maturity will be par unless any index closes below its 75% knock-in level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below its initial level.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $1,564,000
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| Maturity: | July 31, 2023
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| Coupon: | 8.1% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any index closes below its knock-in level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 4,349.93 for S&P, 1,976.464 for Russell
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| Coupon barriers: | 3,262.4475 for S&P, 1,482.348 for Russell; 75% of initial levels
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| Knock-in levels: | 3,262.4475 for S&P, 1,482.348 for Russell; 75% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.65%
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| Cusip: | 22553PDM8
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