Published on 6/28/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon buffered autocalls on S&P, Dow
By William Gullotti
Buffalo, N.Y., June 28 – Credit Suisse AG, London Branch priced $1 million of contingent coupon buffered autocallable yield notes due June 24, 2027 linked to the performance of the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annualized rate of 6% if each index closes at or above its 80% coupon barrier on the related monthly observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any monthly call observation date after one year.
The payout at maturity will be par plus the final coupon unless any index falls by more than 15%, in which case investors will lose 1% for each 1% decline of the worst performer beyond the 15% buffer.
Credit Suisse Securities (USA) LLC is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average
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| Amount: | $1,004,000
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| Maturity: | June 24, 2027
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| Coupon: | 6% annualized, payable monthly if each index closes at or above its coupon barrier on related monthly observation date
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless any index falls by more than 15%, in which case 1% loss for each 1% decline of the worst performer beyond 15%
|
| Call: | At par plus coupon if each index closes at or above initial level on any monthly call observation date after one year
|
| Initial levels: | 30,530.25 for Dow, 3,764.79 for S&P
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| Coupon barriers: | 24,424.2 for Dow, 3,011.832 for S&P; 80% of initial levels
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| Buffer levels: | 25,950.7125 for Dow, 3,200.0715 for S&P; 85% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | June 21
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| Settlement date: | June 24
|
| Fees: | 3.85%
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| Cusip: | 22553Q4P9
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