Published on 11/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.5 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Nov. 22 – Credit Suisse AG, London Branch priced $1.5 million of contingent coupon autocallable yield notes due Dec. 5, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 8% if each index closes at or above its coupon barrier, 75% of its initial level, on the observation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent coupon is paid.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par plus the final coupon and any previously unpaid coupons unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to the losses of the least-performing index.
The agent is Credit Suisse Securities (USA) LLC.
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 index, Russell 2000 index, Euro Stoxx 50 index
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Amount: | $1.5 million
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Maturity: | Dec. 5, 2022
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Coupon: | 8% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date; coupon payment events will automatically include any previously unpaid coupons
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Price: | Par
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Payout at maturity: | Par plus final coupon and any unpaid coupons unless any index finishes below its knock-in level, in which case full exposure to the decline of the least-performing index from its initial level
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Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date
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Initial levels: | 4,688.67 for S&P, 2,377.008 for Russell, 4,400.81 for Stoxx
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Coupon barriers: | 3,516.5 for S&P, 1,782.756 for Russell, 3,300.61 for Stoxx; 75% of initial levels
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Knock-in levels: | 3,516.5 for S&P, 1,782.756 for Russell, 3,300.61 for Stoxx; 75% of initial levels
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Pricing date: | Nov. 17
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Settlement date: | Nov. 22
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1%
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Cusip: | 22553P5B1
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