Published on 6/15/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.41 million contingent coupon callable yield notes on three indexes
By Kiku Steinfeld
Chicago, June 15 - Credit Suisse AG, London Branch priced $1.41 million contingent coupon callable yield notes due Dec. 1, 2023 linked to 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 contingent quarterly coupon at an annual rate of 10.45% if each index closes at or above its barrier level, 80% of the initial level, on the observation date for that quarter.
The notes will be callable at par plus the contingent coupon, if any, on any quarterly interest payment date.
The payout at maturity will be par unless any index finishes at or below its 80% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $1,405,000
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| Maturity: | Dec. 1, 2023
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| Coupon: | 10.45%, payable quarterly if each index closes at or above its barrier level on quarterly observation date
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| Price: | Par
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| Payout at maturity: | If any underlying component falls to or below knock-in level, par plus return of worst-performing underlying index; otherwise, par
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| Call option: | At par plus coupon, if any, on any quarterly interest payment date
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| Initial levels: | 4594.62 for S&P, 2245.935for Russell and 4089.58 for Euro Stoxx
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| Barrier/knock-in levels: | 3675.70 for S&P, 1796.748 for Russell and 3271.66 for Euro Stoxx; 80% of initial levels
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| Pricing date: | Nov. 26, 2021
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| Settlement date: | Dec. 1, 2021
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| Placement agent: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22553P6J3
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