Published on 5/17/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $500,000 contingent coupon notes linked to S&P, Russell, Nasdaq
By Angela McDaniels
Tacoma, Wash., May 17 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon callable yield notes due June 6, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at the rate of 10.9% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that quarter.
The notes are callable at par quarterly.
The payout at maturity will be par unless any index finishes below its knock-in level, 50% of its initial level, in which case investors will be exposed to the decline of the least-performing index.
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 indexes: | S&P 500, Russell 2000 and Nasdaq-100
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| Amount: | $500,000
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| Maturity: | June 6, 2024
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 10.9% per year unless any index closes below coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case exposure to decline of least-performing index
|
| Call option: | Quarterly at par
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| Initial levels: | 4,101.23 for S&P 500, 1,854.824 for Russell 2000 and 12,548.36 for Nasdaq-100
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| Coupon barrier levels: | 3,075.9225 for S&P 500, 1,391.118 for Russell 2000 and 9,411.27 for Nasdaq-100, or 75% of initial levels
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| Knock-in levels: | 2,050.615 for S&P 500, 927.412 for Russell 2000 and 6,274.18 for Nasdaq-100, or 50% of initial levels
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| Pricing date: | June 1, 2022
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| Settlement date: | June 6, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22553PZP7
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