Published on 2/2/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.15 million autocallable securities on three indexes
By William Gullotti
Buffalo, N.Y., Feb. 2 – Credit Suisse AG, London Branch priced $4.15 million of 0% autocallable securities due Feb. 1, 2024 linked to the lowest performing of the Euro Stoxx 50 index, the Russell 2000 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 9.05% if all indexes close at or above initial levels on any quarterly observation date after six months.
If the notes are not called and the final level of each index is equal to or greater than its downside threshold, 70% of its initial level, the payout will be par plus 18.1%.
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 with Morgan Stanley Smith Barney LLC as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Euro Stoxx 50 index
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| Amount: | $4.15 million
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| Maturity: | Feb. 1, 2024
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final level of the worst performing index is greater than or equal to its downside threshold, par plus 18.1%; 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 9.05% if each index closes at or above its initial level on any quarterly observation date after six months
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| Initial levels: | 4,326.51 for S&P, 1,931.288 for Russell, 4,184.97 for Stoxx
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| Downside threshold: | 3,018.16 for S&P, 1,351.902 for Russell, 2,929.48 for Stoxx; 70% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 22552J252
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