Published on 1/23/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million autocallable buffered accelerated return notes on basket
Chicago, Jan. 23 – Credit Suisse AG, London Branch priced $1 million of 0% autocallable buffered accelerated return equity securities due April 27, 2026 linked to a weighted basket of indexes and an ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index (with a 60% weight), the Nasdaq-100 index (with a 20% weight) and the iShares Semiconductor ETF (with a 20% weight).
The notes will be automatically called at par plus a 13.7% call premium if the basket finishes at or above its initial level on April 24, 2023.
If the notes are not called, the payout at maturity will be par plus 1.25 times any gain of the basket. If the basket falls finishes at or above 80% of its initial level, the payout will be par. Otherwise, investors will lose 1.25% for each 1% decline of the basket beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable buffered accelerated return equity securities
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| Underlying basket: | S&P 500 index, Nasdaq-100 index, iShares Semiconductor ETF
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| Amount: | $1,000,000
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| Maturity: | April 27, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.25 times any gain of the basket; if basket falls but finishes at or above buffer level, par; otherwise, 1.25% loss for each 1% decline of basket beyond buffer
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| Call: | At par plus 13.7% if basket finishes at or above its initial level on April 24, 2023
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| Initial levels: | 4271.78 for S&P, 13356.87 for Nasdaq, $410.55 for ETF
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| Buffer level: | 80% of initial level
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| Pricing date: | April 22, 2022
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| Settlement date: | April 28, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0%
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| Cusip: | 22553PT58
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