Published on 2/28/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., Feb. 28 – Credit Suisse AG, London Branch priced $2 million of contingent coupon autocallable yield notes due Feb. 28, 2025 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 8.85% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par plus coupon if each index closes at or above its initial level on any monthly trigger observation date after six months.
If the notes are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 60% knock-in level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
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, Nasdaq-100 index, Dow Jones industrial average
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| Amount: | $2 million
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| Maturity: | Feb. 28, 2025
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| Coupon: | 8.85% per year, payable monthly if each index closes at or above its coupon barrier level on observation date
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above coupon barrier, par plus final coupon; if the worst performer finishes below its coupon barrier but at or above knock-in level, par; otherwise, 1% loss for every 1% decline of the worst performer 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 monthly trigger observation date after six months
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| Initial levels: | 4,225.5 for S&P, 13,509.43 for Nasdaq, 33,131.76 for Dow
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| Coupon barriers: | 2,957.85 for S&P, 9,456.601 for Nasdaq, 23,192.232 for Dow; 70% of initial levels
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| Knock-in levels: | 2,535.3 for S&P, 8,105.658 for Nasdaq, 19,879.056 for Dow; 60% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22553PK57
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