Published on 5/30/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $488,000 contingent coupon autocallable yield notes on S&P, Russell
By Kiku Steinfeld
Chicago, May 31 – Credit Suisse AG, London Branch priced $488,000 of contingent coupon autocallable yield notes due May 3, 2023 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above the coupon barrier level, 75% of the initial level, on a quarterly observation date, the notes will pay a contingent payment for that quarter at a rate of 9% per year.
The notes will be called at par plus the contingent coupon if each index closes at or above initial price on any quarterly trigger observation date after six months.
If the notes are not called, the payout at maturity will be any index closes below initial level and ever closes below the 75% knock-in level, in which case investors will lose 1% for each 1% decline of the laggard index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $488,000
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| Maturity: | May 3, 2023
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| Contingent payment: | 9% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless any index closes below initial level and ever closes below knock-in, in which case investors will lose 1% for each 1% decline of laggard index
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 2297.191 for Russell, 4605.38 for S&P
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| Coupon barriers: | 1722.89325 for Russell, 3454.035 for S&P, 75% of initial level
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| Knock-in levels: | 1722.89325 for Russell, 3454.035 for S&P 75% of initial level
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| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 2, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.15%
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| Cusip: | 22552XX99
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