Published on 9/2/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.03 million contingent coupon callable yield notes on three indexes
By Kiku Steinfeld
Chicago, Sept. 6 – Credit Suisse AG, London Branch, priced $1.03 million of contingent coupon callable yield notes due Jan. 26, 2027 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.
The notes pay a contingent quarterly coupon at the rate of 8.7% per year if each index closes at or above its coupon barrier level, 80% of its initial level, on the related observation date.
The notes are callable, in whole but not in part, at par plus any coupon due on any quarterly observation date after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 75% knock-in level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the least-performing index from its initial level.
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 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $1.03 million
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| Maturity: | Jan. 26, 2027
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| Coupon: | 8.7% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier level but not below knock-in level, par; otherwise, full exposure to losses of worst performer
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| Call option: | Callable in whole at par plus any coupon due on any quarterly observation date after six months
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| Initial levels: | 14,438.40 for Nasdaq, 4,397.94 for S&P, 1,987.918 for Russell
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| Coupon barrier levels: | 11,550.72 for Nasdaq, 3,518.352 for S&P, 1,590.3344 for Russell, 80% of initial levels
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| Knock-in levels: | 10,828.80 for Nasdaq, 3,298.455 for S&P, 1,490.9385 for Russell; 75% of initial levels
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| Pricing date: | Jan. 21, 2022
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| Settlement date: | Jan. 26, 2022
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22553PFM6
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