Published on 4/15/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.42 million contingent coupon autocallable notes on S&P, Russell
By Kiku Steinfeld
Chicago, April 18 – Credit Suisse AG, London Branch priced $1.42 million of contingent coupon autocallable yield notes due March 30, 2023 linked to the lesser 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 quarterly coupon at the rate of 6.5% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be called if both indexes close at or above their initial levels on any quarterly trigger observation date after six months.
The payout at maturity will be par unless either index finishes below its 75% 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.
| 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 and Russell 2000 index
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| Amount: | $1,415,000
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| Maturity: | March 30, 2023
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| Coupon: | 6.5% annual rate, payable quarterly if each underlying index 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 unless either index finishes below its knock-in level, in which case exposure to decline of least-performing index
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| Call option: | Automatically called if both indexes close at or above their initial levels on any quarterly trigger observation date after six months
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| Initial levels: | 4443.11 for S&P, 2281.003 for Russell
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| Coupon barriers: | 3332.3325 for S&P, 1710.75225 for Russell; 75% of initial levels
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| Knock-in levels: | 3332.3325 for S&P, 1710.75225 for Russell; 75% of initial levels
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| Pricing date: | Sept. 27, 2021
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| Settlement date: | Sept. 30, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.65%
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| Cusip: | 22552XUP6
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