Published on 6/13/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable yield notes on S&P, Russell
Chicago, June 13 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due June 5, 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 quarterly observation date, the notes will pay a contingent payment for that quarter at a rate of 7.3% per year. Previously unpaid coupons will also be paid.
The notes will be called at par plus the contingent coupon if each index closes at or above initial price on any quarterly trigger observation date.
If the notes are not called, the payout at maturity will be par unless any index closes below its 65% knock-in level, in which case investors will lose 1% for each 1% decline of the laggard index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| 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: | $1,000,000
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| Maturity: | June 5, 2023
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| Contingent payment: | 7.3% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter; previously unpaid coupons will also be paid
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| Price: | Par
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| Payout at maturity: | Par unless any index closes below knock-in level, in which case investors will lose 1% for each 1% decline of laggard index
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| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any quarterly trigger observation date
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| Initial levels: | 2241.976 for Russell, 4655.27 for S&P
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| Coupon barriers: | 1457.284 for Russell, 3025.93 for S&P, 65% of initial level
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| Knock-in levels: | 1457.284 for Russell, 3025.93 for S&P, 65% of initial level
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| Pricing date: | Nov. 3, 2021
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| Settlement date: | Dec. 3, 2021
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 0.875%
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| Cusip: | 22553P7E3
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