Published on 5/31/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.51 million contingent coupon autocallable yield notes on indexes
By William Gullotti
Buffalo, N.Y., May 31 – Credit Suisse AG, London Branch priced $1.51 million of contingent coupon autocallable yield notes due May 29, 2024 linked to the least performing of the S&P 500 index, the Nasdaq-100 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 10.75% if each index closes at or above its coupon barrier, 65% 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 quarterly trigger observation date after six months.
If the notes are not called and each index finishes at or above its 65% knock-in level, the payout at maturity will be par plus the final coupon. 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, Euro Stoxx 50 index
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Amount: | $1,505,000
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Maturity: | May 29, 2024
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Coupon: | 10.75% per year, payable quarterly 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 knock-in level, par plus final coupon; 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 quarterly trigger observation date after six months
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Initial levels: | 3,973.75 for S&P, 12,034.28 for Nasdaq, 3,973.75 for Stoxx
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Coupon barriers: | 2,582.9375 for S&P, 7,822.282 for Nasdaq, 2,410.4535 for Stoxx; 65% of initial levels
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Knock-in levels: | 2,582.9375 for S&P, 7,822.282 for Nasdaq, 2,410.4535 for Stoxx; 65% of initial levels
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Pricing date: | May 23
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Settlement date: | May 26
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.75%
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Cusip: | 22553PYR4
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