Published on 4/26/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.03 million autocallable securities on S&P, Dow
By William Gullotti
Buffalo, N.Y., April 26 – Credit Suisse AG, London Branch priced $2.03 million of 0% autocallable securities due Jan. 21, 2025 linked to the lowest performing of 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 6.1% if all indexes close at or above call levels on any semiannual observation date. Call level begins at 100% of initial level and steps down by 5% on the third and fifth observation dates.
If the notes are not called and each index finishes at or above its 90% threshold level, the payout at maturity will be par plus 18.3%.
If the worst performer finishes below threshold level but not below its 70% knock-in level, the payout will be par. Otherwise, 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, Dow Jones industrial average
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| Amount: | $2.03 million
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| Maturity: | Jan. 21, 2025
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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 threshold level, plus 18.3%; if the worst performer finishes below threshold level but not below knock-in level, 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 6.1% if each index closes at or above its call level on any semiannual observation date; call level begins at 100% of initial level and steps down by 5% on the third and fifth observation dates
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| Initial levels: | 4,577.11 for S&P, 35,368.47 for Dow
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| Threshold levels: | 4,119.399 for S&P, 31,831.623 for Dow; 90% of initial levels
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| Knock-in levels: | 3,203.977 for S&P, 24,757.929 for Dow; 70% of initial levels
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| Pricing date: | Jan. 18
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| Settlement date: | Jan. 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22553PF46
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