Published on 1/14/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.38 million contingent coupon callable yield notes on three stocks
By William Gullotti
Buffalo, N.Y., Jan. 14 – Credit Suisse AG, London Branch, priced $3.38 million of contingent coupon callable yield notes due Jan. 16, 2024 to the least performing of the stocks of Walt Disney Co., Discovery, Inc. and ViacomCBS Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 24% per year if each stock closes at or above its coupon barrier price, 70% of its initial price, on the related observation date.
After six months, the notes may be called at par plus any contingent coupon due at the issuer’s option on any quarterly early redemption date.
The payout at maturity will be par plus the final coupon if each stock finishes at or above its coupon barrier.
If the worst performer finishes below the coupon barrier but at or above its 60% knock-in price, the payout at maturity will be par. Otherwise, in which case investors will be exposed to the decline of the worst performer from its initial price.
Credit Suisse Securities (USA) LLC is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying stocks: | Walt Disney Co., Discovery, Inc., ViacomCBS Inc.
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| Amount: | $3,383,000
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| Maturity: | Jan. 16, 2024
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| Coupon: | 24% per year, payable quarterly if each underlying asset closes at or above its coupon barrier price on related observation date
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| Price: | Par
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| Payout at maturity: | If all stocks finish at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above its knock-in price, par; otherwise, 1% loss for every 1% decline of worst performer from initial level
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| Call: | Par plus any coupon due on any quarterly early redemption date after six months
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| Initial prices: | $157.89 for Disney, $28.68 for Discovery, $34.96 for ViacomCBS
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| Coupon barrier prices: | $110.523 for Disney, $20.076 for Discovery, $24.472 for ViacomCBS; 70% of initial prices
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| Knock-in prices: | $94.734 for Disney, $17.208 for Discovery, $20.976 for ViacomCBS; 60% of initial prices
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| Pricing date: | Jan. 11
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| Settlement date: | Jan. 14
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| Placement agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22553PFA2
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