Published on 6/29/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.02 million autocallable securities on MSCI EM, Stoxx
By Kiku Steinfeld
Chicago, June 29 – Credit Suisse AG, London Branch $1.02 million of 0% autocallable securities due Dec. 29, 2025 linked to the MSCI Emerging Markets index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 10.4% if each underlying index closes at or above its corresponding call level on any annual review date. The call level will be set at 100% of each index’s initial level for the first review date, at 97.5% for the second review date and at 95% for the third review date.
If the notes are not called, the payout at maturity will be the contingent return of 41.6% if each index finishes at or above its threshold level, 92.5% of its initial level.
If any index finishes below its 92.5% threshold level but the lowest performer finishes no lower than its knock-out-level, 70% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% drop of the lowest performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable securities
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Underlying indexes: | Euro Stoxx 50, MSCI Emerging Markets
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Amount: | $1,022,000
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Maturity: | Dec. 29, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 41.6% if each index finishes at or above its threshold level; if lowest performer falls below threshold but no lower than knock-in level, par; otherwise, 1% loss for each 1% decline of lesser performing index
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Call: | Automatically at par plus 10.4% per year if each index closes at or above call level on any annual review date; call levels will be set at 100% of each index’s initial level for the first review date, at 97.5% for the second review date and at 95% for the third review date
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Initial levels: | 4217.06 for Stoxx, 1209.88 for EM
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Threshold levels: | 3900.7805 for Stoxx, 1119.139 for EM, 92.5% of initial levels
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Knock-in levels: | 2951.942 for Stoxx, 846.916 for EM, 70% of initial levels
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Pricing date: | Dec. 22, 2021
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Settlement date: | Dec. 28, 2021
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2%
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Cusip: | 22553PAK5
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