Published on 3/14/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $20 million review notes linked to S&P, Russell
By William Gullotti
Buffalo, N.Y., March 14 – Credit Suisse AG, London Branch priced $20 million of 0% review notes due Feb. 16, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 9.7% if each index closes at or above its initial level on Feb. 24, 2023.
If the notes are not called and each index finishes at or above its 70% knock-out level, the payout at maturity will be par plus 19.4%.
Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
J.P. Morgan Securities LLC is the placement agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Review notes
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Underlying indexes: | S&P 500 index, Russell 2000 index
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Amount: | $20 million
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Maturity: | Feb. 16, 2024
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each index finishes at or above knock-out level, par plus 19.4%; otherwise, full exposure to worst performer’s decline from initial level
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Call: | Automatically at par plus 9.7% if each index closes at or above initial level on Feb. 24, 2023
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Initial levels: | 4,416.25 for S&P, 2,024.45 for Russell
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Knock-out levels: | 3,091.38 for S&P, 1,417.115 for Russell; 70% of initial level
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Strike date: | Feb. 11
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Pricing date: | Feb. 14
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Settlement date: | Feb. 17
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Placement agent: | J.P. Morgan Securities LLC
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Fees: | 0.45%
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Cusip: | 22553PJV2
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