Published on 3/9/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.54 million autocallable contingent income securities on indexes
By William Gullotti
Buffalo, N.Y., March 9 – Credit Suisse AG, London Branch priced $3.54 million of autocallable contingent income securities due March 7, 2024 linked to the performance of the S&P 500 index, the Russell 2000 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 13.5% if each index closes at or above its coupon barrier level, 75% 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.
If the notes are not called and each index finishes at or above its 75% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the worst performer from 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, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $3.54 million
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| Maturity: | March 7, 2024
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| Coupon: | 13.5% 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: | If each index finishes at or above barrier level, par plus final coupon; otherwise, 1% loss for each 1% decline of the worst performer from 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
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| Initial levels: | 4,328.87 for S&P, 2,000.9 for Russell, 3,556.01 for Stoxx
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| Coupon barrier levels: | 3,246.65 for S&P, 1,500.675 for Russell, 2,667.01 for Stoxx; 75% of initial prices
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| Barrier levels: | 3,246.65 for S&P, 1,500.675 for Russell, 2,667.01 for Stoxx; 75% of initial prices
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| Pricing date: | March 4
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| Settlement date: | March 9
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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%
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| Cusip: | 22553PMG1
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