Published on 4/25/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $162,000 autocallable securities on S&P, Russell, Dow
Chicago, April 25 – Credit Suisse AG, London Branch priced $162,000 of 0% autocallable securities due May 30, 2025 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 9.5% if all indexes close at or above their call levels on any semiannual observation date starting after one year. The autocall levels are initially the initial levels, shift to 95% of the initial levels for the second and third observation dates and moves to 90% of the initial levels for the final observation date.
If the notes are not called and the final level of each index is equal to or greater than its 90% threshold level, the payout at maturity will be par plus a 10% fixed amount and then the underlying return of the lower performing index.
If the worst performer declines more than 10% but not more 30%, the payout at maturity will be par.
Otherwise, investors will be exposed to the losses of the worst performer.
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: | $162,000
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Maturity: | May 30, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 10% fixed amount and then return of worst performer if all three indexes close above 90% of initial levels; par if worst performer declines more than 10% but not more than 30%; otherwise, full exposure to losses of worst performer
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Call: | Automatically at par plus annualized redemption premium of 9.5% if each index closes at or above autocall level on semiannual observation date starting after one year; autocall levels start at 100% of initial levels, go to 95% of initial levels for next two observation dates and then move to 90% of initial level on final autocall observation date
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Initial levels: | 1799.164 for Russell, 3978.73 for S&P, 32120.28 for Dow
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Threshold levels: | 1619.2476 for Russell, 3580.857 for S&P, 28908.252 for Dow; 90% of initial levels
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Knock-in levels: | 1259.4148 for Russell, 2785.111 for S&P, 22484.196 for Dow; 70% of initial levels
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Pricing date: | May 25, 2022
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Settlement date: | May 31, 2022
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3.5%
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Cusip: | 22553PUY3
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