Published on 3/9/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.39 million contingent coupon callable yield notes on two indexes
By William Gullotti
Buffalo, N.Y., March 9 – Credit Suisse AG, London Branch, priced $5.39 million of contingent coupon callable yield notes due Dec. 7, 2022 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 pay a contingent monthly coupon at the rate of 6.45% per year if each index closes at or above its coupon barrier level, 55% 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 monthly observation date.
The payout at maturity will be par plus the final coupon unless any index finishes below its 55% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. as placement agents.
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
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Amount: | $5.39 million
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Maturity: | Dec. 7, 2022
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Coupon: | 6.45% per year, payable monthly 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 unless any index finishes below knock-in level, in which case exposure to decline of least-performing index
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Call option: | Callable in whole at par plus any coupon due on any monthly observation date
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Initial levels: | 2,008.9 for Russell, 4,301.3 for S&P
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Coupon barrier levels: | 1,104.895 for Russell, 2,365.72 for S&P; 55% of initial levels
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Knock-in levels: | 1,104.895 for Russell, 2,365.72 for S&P; 55% of initial levels
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Strike date: | March 1
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Pricing date: | March 2
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Settlement date: | March 7
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Agent: | Credit Suisse Securities (USA) LLC with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. as placement agents
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Fees: | 0.5%
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Cusip: | 22553PME6
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