Published on 9/16/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.08 million contingent coupon callable yield notes on ETFs
By Kiku Steinfeld
Chicago, Sept. 16 – Credit Suisse AG, London Branch priced $1.08 million of contingent coupon callable yield notes due Feb. 3, 2027 linked to the least performing of the VanEck Vectors Gold Miners ETF, the VanEck Vectors Junior Gold Miners ETF and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 11.2% if each fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes are callable at par plus the coupon on any quarterly contingent coupon payment date other than the final one.
If the notes are not called, the payout at maturity will be par unless either fund finishes below its 50% knock-in level, in which case investors will receive a number of shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon callable yield notes
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Underlying funds: | SPDR S&P 500 ETF trust, VanEck Vectors Gold Miners ETF, VanEck Vectors Junior Gold Miners ETF
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Amount: | $1,075,000
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Maturity: | Feb. 3, 2027
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Coupon: | 11.2% per year, payable quarterly if each fund closes at or above its coupon barrier on related observation date
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Price: | Par
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Payout at maturity: | Par unless either fund finishes below its knock-in level, in which case a number of shares equal to $1,000 divided by initial share price or, at issuer’s option, cash equivalent
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Call option: | At par plus coupon on any contingent coupon payment date other than final one
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Initial prices: | $29.68 for gold, $37.46 for junior gold, $431.24 for S&P
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Coupon barriers: | $20.78 for gold, $26.22 for junior gold, $301.87 for S&P; 70% of initial levels
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Coupon barrier/knock-in levels: | $14.84 for gold, $18.73 for junior gold, $215.62 for S&P; 50% of initial levels
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Pricing date: | Jan. 28, 2022
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Settlement date: | Feb. 2, 2022
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22550MB81
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