Published on 8/29/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $850,000 contingent coupon autocallable yield notes on indexes
Chicago, Aug. 29 – Credit Suisse AG, London Branch priced $850,000 of contingent coupon autocallable yield notes due Aug. 26, 2025 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 9.62% if each index closes at or above its coupon barrier, 80% 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 quarterly observation date.
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 the 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: | S&P 500 index, Nasdaq-100 index, Dow Jones industrial average
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| Amount: | $850,000
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| Maturity: | Aug. 26, 2025
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| Coupon: | 9.62% per year, payable quarterly if each index 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: | 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 quarterly observation date
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| Initial levels: | 4128.73 for S&P, 12881.79 for Nasdaq, 32909.59 for Dow
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| Coupon barriers: | 3302.984 for S&P, 10305.432 for Nasdaq, 26327.672 for Dow; 80% of initial levels
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| Knock-in levels: | 2477.238 for S&P, 7729.074 for Nasdaq, 19745.754 for Dow; 60% of initial levels
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| Pricing date: | Aug. 23, 2022
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| Settlement date: | Aug. 26, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.85%
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| Cusip: | 22553QHD2
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