Published on 9/12/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.23 million contingent coupon callable yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 12 – Credit Suisse AG, London Branch, priced $1.23 million of contingent coupon callable yield notes due March 12, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at the rate of 7.7% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes are callable, in whole but not in part, at par plus any coupon due on any monthly observation date after three months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 60% knock-in level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the least-performing index from its initial level.
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 indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $1,229,000
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| Maturity: | March 12, 2024
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| Coupon: | 7.7% per year, payable monthly if each underlying asset closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier level but not below knock-in level, par; otherwise, full exposure to losses of worst performer
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| Call option: | Callable in whole at par plus any coupon due on any monthly observation date after three months
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| Initial levels: | 31,581.28 for Dow, 3,979.87 for S&P, 1,832.003 for Russell
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| Coupon barrier levels: | 22,106.896 for Dow, 2,785.909 for S&P, 1,282.4021 for Russell, 70% of initial levels
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| Knock-in levels: | 18,948.768 for Dow, 2,387.922 for S&P, 1,099.2018 for Russell; 60% of initial levels
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| Pricing date: | Sept. 7
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| Settlement date: | Sept. 12
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.45%
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| Cusip: | 22553QKW6
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