Published on 2/9/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.93 million contingent coupon buffered autocalls on three indexes
By William Gullotti
Buffalo, N.Y., Feb. 9 – Credit Suisse AG, London Branch priced $1.93 million of contingent coupon buffered autocallable yield notes due Feb. 11, 2025 linked to the performance of the Russell 2000 index, 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 quarterly coupon at an annualized rate of 6.5% if each index closes at or above its 79% coupon barrier on the related quarterly observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly call observation date after one year.
The payout at maturity will be par plus the final coupon unless any index falls by more than 21%, in which case investors will lose 1% for each 1% decline of the worst performer beyond the 21% buffer.
Credit Suisse Securities (USA) LLC is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $1.93 million
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| Maturity: | Feb. 11, 2025
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| Coupon: | 6.5% annualized, payable quarterly if each index closes at or above its coupon barrier on related quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any index falls by more than 21%, in which case 1% loss for each 1% decline of the worst performer beyond 21%
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| Call: | At par plus coupon if each index closes at or above initial level on any quarterly call observation date after one year
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| Initial levels: | 35,089.74 for Dow, 4,500.53 for S&P, 2,002.359 for Russell
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| Coupon barriers/buffer levels: | 27,720.8946 for Dow, 3,555.4187 for S&P, 1,581.86361 for Russell; 79% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Feb. 4
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| Settlement date: | Feb. 11
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| Fees: | 0.7%
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| Cusip: | 22553PHQ5
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