Published on 12/28/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallable yield notes on stocks, index
By William Gullotti
Buffalo, N.Y., Dec. 28 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due May 5, 2025 linked to the lowest performing of the Dow Jones industrial average, Annaly Capital Management, Inc. and Walt Disney Co., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 15.85% if each underlier closes at or above its coupon barrier level, 60% of its initial level, on a monthly observation date.
The notes will be called automatically at par plus the coupon if each underlier closes at or above its initial level on any quarterly observation date after one year.
The payout at maturity will be par plus the final coupon unless any underlier finishes below its 60% knock-in level, in which case investors will lose 1% for every 1% decline of the worst performer 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 autocallable yield notes
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Underlying assets: | Dow Jones industrial average, Annaly Capital Management, Inc., Walt Disney Co.
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Amount: | $500,000
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Maturity: | May 5, 2025
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Coupon: | 15.85% per year, payable monthly if each underlier closes at or above its barrier level on observation date
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Price: | Par
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Payout at maturity: | Par plus final coupon unless any underlier finishes below its knock-in level, in which case lose 1% for every 1% decline of worst performer from its initial level
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Call: | Automatically at par plus coupon if each underlier closes at or above its initial level on any quarterly observation date after one year
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Initial levels: | 33,916.39 for Dow, $115.29 for Disney, $6.62 for Annaly
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Coupon barrier/knock-in levels: | 20,349.834 for Dow, $69.174 for Disney, $3.972 for Annaly; 60% of initial levels
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Pricing date: | April 28
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Settlement date: | May 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.75%
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Cusip: | 22553PU98
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