Published on 9/1/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.27 million contingent coupon autocallable yield notes on indexes
Chicago, Sept. 1 – Credit Suisse AG, London Branch priced $2.27 million of contingent coupon autocallable yield notes due Feb. 29, 2024 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, 75% of the initial level, on a quarterly observation date, the notes will pay a contingent payment for that period at a rate of 11.5% 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 autocall observation date after six months.
If the notes are not called, the payout at maturity will be par if no index finishes below its 75% knock-in level during the life of the notes. 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: | $2,272,000
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| Maturity: | Feb. 29, 2024
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| Contingent payment: | 11.5% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par if no index finishes below knock-in level during life of notes; 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 quarterly autocall observation date after six months
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| Initial levels: | 1899.83 for Russell, 4057.66 for S&P
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| Coupon barriers: | 1424.8725 for Russell, 3043.245 for S&P, 75% of initial levels
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| Knock-in levels: | 1424.8725 for Russell, 3043.245 for S&P, 75% of initial levels
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.4%
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| Cusip: | 22553QEY9
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