Published on 2/24/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.55 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Feb. 24 – Credit Suisse AG, London Branch priced $2.55 million of contingent coupon autocallable yield notes due Feb. 24, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 11% if each index closes at or above its coupon barrier, 75% of its initial level, on the observation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent payment is made.
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.
If the notes are not called and each index finishes at or above its 75% knock-in level, the payout at maturity will be par plus all unpaid coupons. 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: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $2.55 million
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| Maturity: | Feb. 24, 2023
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| Coupon: | 11% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date; coupon payment events will automatically include any previously unpaid coupons
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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 all unpaid coupons; 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 quarterly trigger observation date
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| Initial levels: | 4,348.87 for S&P, 2,009.333 for Russell, 4,074.28 for Stoxx
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| Coupon barriers: | 3,261.65 for S&P, 1,507.0 for Russell, 3,055.71 for Stoxx; 75% of initial levels
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| Knock-in levels: | 3,261.65 for S&P, 1,507.0 for Russell, 3,055.71 for Stoxx; 75% of initial levels
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| Pricing date: | Feb. 18
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| Settlement date: | Feb. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1%
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| Cusip: | 22553PKA6
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