Published on 6/8/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $944,000 autocallable securities on S&P, Russell, Stoxx
Chicago, June 8 – Credit Suisse AG, London Branch priced $944,000 of 0% autocallable securities due Nov. 30, 2026 linked to the lowest performing of the Russell 2000 index, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annual redemption premium of 8.1% if all indexes close at or above their call levels, 100% of their initial levels, on any quarterly observation date after one year.
If the notes are not called and the final level of each index is equal to or greater than its initial level, the payout at maturity will be par plus 40.5%.
If the worst performer falls but finishes at or above its 70% downside threshold, the payout at maturity will be par. If the final level of any index is less than its downside threshold, investors will lose 1% for each 1% decline of the lesser performing index from its initial level.
The agent is Credit Suisse Securities (USA) LLC.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable securities
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Underlying indexes: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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Amount: | $944,000
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Maturity: | Nov. 30, 2026
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the final level of the worst performing index is greater than or equal to its initial level, par plus 40.5%; if the worst performer declines up to downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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Call: | Automatically at par plus annualized redemption premium of 8.1% if each index closes at or above 100% of its initial level on any quarterly observation date after one year
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Initial levels: | 4701.46 for S&P, 2331.46 for Russell, 4276.25 for Stoxx
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Downside thresholds: | 3291.022 for S&P, 1632.022 for Russell, 2993.375 for Stoxx; 70% of initial levels
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Pricing date: | Nov. 24, 2021
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Settlement date: | Nov. 30, 2021
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3.5%
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Cusip: | 22553P5G0
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