Published on 5/6/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.05 million autocallable contingent income securities on indexes
By William Gullotti
Buffalo, N.Y., May 6 – Credit Suisse AG, London Branch priced $5.05 million of autocallable contingent income securities due May 2, 2025 linked to the performance of the S&P 500 index, the Nasdaq-100 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8.5% if each index closes at or above its coupon barrier level, 70% of the initial level, on the relevant observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly call observation date after six months.
If the notes have not been called, the payout at maturity will be par unless any index closes below its 60% barrier level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst perfomer finishes below its initial level.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC as the dealer.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Euro Stoxx 50 index
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| Amount: | $5.05 million
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| Maturity: | May 2, 2025
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| Coupon: | 8.5% annual rate, payable quarterly if each index closes at or above coupon barrier level on the corresponding observation date
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| Price: | Par
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| Payout at maturity: | Par unless any index closes below its 60% barrier level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for every 1% that the worst perfomer finishes below its initial level
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| Call: | At par plus coupon if each index closes at or above initial price on any quarterly call observation date after six months
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| Initial levels: | 4,183.96 for S&P, 13,003.36 for Nasdaq, 3,734.64 for Stoxx
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| Coupon barrier levels: | 2,928.77 for S&P, 9,102.35 for Nasdaq, 2,614.25 for Stoxx; 70% of initial prices
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| Barrier levels: | 2,510.38 for S&P, 7,802.02 for Nasdaq, 2,240.78 for Stoxx; 60% of initial prices
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| Pricing date: | April 27
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| Settlement date: | May 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Dealer: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 22553PTL3
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