Published on 4/16/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.13 million autocallable securities on S&P, Russell, Dow
By Kiku Steinfeld
Chicago, April 18 – Credit Suisse AG, London Branch priced $1.13 million of 0% autocallable securities due Sept. 30, 2024 linked to the lowest performing of the Russell 2000 index, the Dow Jones industrial average 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 6.5% if all indexes close at or above their call levels, 100% of their initial levels, on any semiannual 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 the return of the laggard index.
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: | Dow Jones industrial average, S&P 500 index, Russell 2000 index
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| Amount: | $1,128,000
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| Maturity: | Sept. 30, 2024
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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 laggard index’s return; if the worst performer declines up to 30%, 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 6.5% if each index closes at or above 100% of its initial level on any semiannual observation date after one year
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| Initial levels: | 2,281.003 for Russell, 4,443.11 for S&P, 34,869.37 for Dow
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| Downside thresholds: | 1596.7021 for Russell, 3110.177 for S&P, 24408.559 for Dow; 70% of initial levels
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| Pricing date: | Sept. 27, 2021
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| Settlement date: | Sept. 30, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22552XUV3
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