Published on 5/6/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.75 million autocallable securities on Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., May 6 – Credit Suisse AG, London Branch priced $4.75 million of 0% autocallable securities due May 3, 2027 linked to the lowest performing of the Russell 2000 index and the Nasdaq-100 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 11.25% if all indexes close at or above initial levels on any annual observation date.
If the notes are not called and each index finishes at or above its 70% downside threshold level, the payout at maturity will be par plus 56.25%.
If the worst performer finishes below its downside threshold level but at or above its 65% knock-in level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer 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: | Russell 2000 index, Nasdaq-100 index
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| Amount: | $4.75 million
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| Maturity: | May 3, 2027
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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 downside threshold, plus 56.25%; if the worst performer finishes below downside threshold but at or above knock-in level, par; otherwise, 1% loss for each 1% decline of worst performing index from initial levels
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| Call: | Automatically at par plus annualized redemption premium of 11.25% if each index closes at or above its initial level on any annual observation date
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| Initial levels: | 13,356.87 for Nasdaq, 1,940.665 for Russell
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| Downside threshold: | 9,349.809 for Nasdaq, 1,358.4655 for Russell; 70% of initial levels
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| Knock-in level: | 8,681.9655 for Nasdaq, 1,261.43225 for Russell; 65% of initial levels
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| Strike date: | April 22
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| Pricing date: | April 27
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| Settlement date: | May 2
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.3%
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| Cusip: | 22553PTY5
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