Published on 6/16/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.78 million contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, June 16 – Credit Suisse AG, London Branch priced $1.78 million of contingent coupon autocallable yield notes due July 17, 2023 linked to the lowest performing of 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, 65% of the initial level, on a monthly observation date, the notes will pay a contingent payment for that month at a rate of 6.95% per year.
The notes will be called at par plus the contingent coupon if each index closes at or above initial price on any monthly trigger observation date after six months.
If the notes are not called, the payout at maturity will be par if no index finishes below its 65% knock-in level. Otherwise, investors will lose 1% for each 1% decline of the laggard index with a maximum payout of par.
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 indexes: | S&P 500, Russell 2000
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| Amount: | $1,778,000
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| Maturity: | July 17, 2023
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| Contingent payment: | 6.95% per year, payable monthly if each index closes at or above coupon barrier level on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par if no index finishes below knock-in level; otherwise, investors will lose 1% for each 1% decline of laggard index with a maximum payout of par
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any monthly trigger observation date after six months
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| Initial levels: | 1,714.595 for Russell, 3,749.63 for S&P
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| Coupon barriers: | 1,114.48675 for Russell, 2,437.2595 for S&P, 65% of initial level
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| Knock-in levels: | 1,114.48675 for Russell, 2,437.2595 for S&P, 65% of initial level
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| Pricing date: | June 13
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| Settlement date: | June 16
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.15%
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| Cusip: | 22553Q2J5
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