Published on 6/14/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $575,000 contingent coupon callable yield notes on indexes, ETF
Chicago, June 14 – Credit Suisse AG, London Branch priced $575,000 of contingent coupon callable yield notes due Dec. 9, 2024 linked to the least performing of the iShares MSCI Emerging Markets ETF, 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 contingent quarterly coupon at an annualized rate of 9.1% if each underlying asset closes at or above its coupon barrier level, 70% of its initial level, on the related observation date after six months.
Credit Suisse may call the notes in whole but not in part at par on any quarterly call observation date.
The payout at maturity will be par unless any asset finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | iShares MSCI Emerging Markets ETF, S&P 500 index and Russell 2000 index
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| Amount: | $575,000
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| Maturity: | Dec. 9, 2024
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| Coupon: | 9.1% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in, in which case full exposure to any losses of the least-performing asset
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| Call option: | Callable at par on any quarterly call observation date after six months
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| Initial levels: | 4577.10 for S&P, 2206.333 for Russell, $49.62 for ETF
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| Coupon barrier: | 3203.97 for S&P, 1544.4331 for Russell, $34.734 for ETF; 70% of initial levels
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| Knock-in levels: | 2746.26 for S&P, 1323.7998 for Russell, $29.772 for ETF; 60% of initial levels
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| Pricing date: | Dec. 2, 2021
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| Settlement date: | Dec. 7, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22553PAZ2
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