Published on 10/4/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.27 million contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Oct. 4 – Credit Suisse AG, London Branch priced $2.27 million of contingent coupon autocallable yield notes due Feb. 29, 2024 linked to the lesser 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 its coupon barrier level, 75% of its 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 its initial level on any quarterly autocall observation date after six months.
If the notes are not called, the payout at maturity will be par unless either index closes below its 75% knock-in level during the life of the notes, in which case investors will receive par plus the return of the lesser performing index, subject to 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 unless either index closes below knock-in level during life of notes, in which case par plus return of lesser performing index, subject to maximum payout of par
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| 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: | 4,057.66 for S&P, 1,899.83 for Russell
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| Coupon barrier level: | 3,043.245 for S&P, 1,424.8725 for Russell, 75% of initial levels
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| Knock-in levels: | 3,043.245 for S&P, 1,424.8725 for Russell, 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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