Published on 2/27/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallable yield notes on indexes
Chicago, Feb. 27 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due May 12, 2025 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 9.3% if each index closes at or above its coupon barrier, 70% 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 monthly observation date after six months.
If the notes are not called and each index finishes at or above its 60% knock-in level, the payout at maturity will be par plus any final coupon. 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: | Nasdaq-100 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $500,000
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| Maturity: | May 12, 2025
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| Coupon: | 9.3% per year, payable monthly 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 monthly observation date after six months
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| Initial levels: | 12850.55 for Nasdaq, 1871.148 for Russell, 32997.97 for Dow
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| Coupon barriers: | 8995.385 for Nasdaq, 1309.8036 for Russell, 23098.579 for Dow; 70% of initial levels
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| Knock-in levels: | 7710.33 for Nasdaq, 1122.6888 for Russell, 19798.782 for Dow; 60% of initial levels
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| Pricing date: | May 9, 2022
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| Settlement date: | May 12, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22553PWL9
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