Published on 10/16/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $638,000 contingent coupon autocallable yield notes on Russell, S&P
Chicago, Oct. 16 – Credit Suisse AG, London Branch priced $638,000 of contingent coupon autocallable yield notes due April 5, 2024 linked to the least 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 will pay a quarterly contingent coupon at an annual rate of 15% 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 the coupon if each index closes at or above its initial level on any quarterly autocall observation date after six months.
The payout at maturity will be par if neither index closes below its 75% knock-in level at any point during the life of the notes or both indexes finish above their initial levels. 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
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $638,000
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| Maturity: | April 5, 2024
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| Coupon: | 15% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par if neither index closes below knock-in level during life of notes or both indexes finish above initial levels; otherwise, 1% loss for every 1% decline of the worst performer from its initial level
|
| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly autocall observation date after six months
|
| Initial levels: | 3585.62 for S&P, 1664.716 for Russell
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| Coupon barriers: | 2689.215 for S&P, 1248.537 for Russell; 75% of initial levels
|
| Knock-in levels: | 2689.215 for S&P, 1248.537 for Russell; 75% of initial levels
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| Pricing date: | Sept. 30, 2022
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| Settlement date: | Oct. 5, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.9%
|
| Cusip: | 22553QKD8
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