Published on 4/18/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.34 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, April 18 – Credit Suisse AG, London Branch priced $1.34 million of contingent coupon autocallable yield notes due April 20, 2026 linked to the least performing of the Russell 2000 index and the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 9.8% 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 are not called and each index finishes at or above its 65% knock-in level, the payout at maturity will be par plus the final coupon, if any. 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: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $1.34 million
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| Maturity: | April 20, 2026
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| Coupon: | 9.8% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
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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 final coupon; 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 after six months
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| Initial levels: | 1,986.937 for Russell, 4,397.45 for S&P, 34,220.36 for Dow
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| Coupon barriers: | 1,490.20275 for Russell, 3,298.0875 for S&P, 25,665.27 for Dow; 75% of initial levels
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| Knock-in levels: | 1,291.50905 for Russell, 2,858.3425 for S&P, 22,243.234 for Dow; 65% of initial levels
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| Pricing date: | April 13
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| Settlement date: | April 19
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.6%
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| Cusip: | 22553PSQ3
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