Published on 2/13/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $172,000 autocallable securities on Dow, Russell, S&P
By Kiku Steinfeld
Chicago, Feb. 14 – Credit Suisse AG, London Branch priced $172,000 of 0% autocallable securities due Sept. 3, 2024 linked to the lowest performing of the Dow Jones industrial average, the Russell 2000 index 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% if all indexes close at or above initial levels on any semiannual observation date after one year.
If the notes are not called and each index finishes at or above its initial level, the payout at maturity will be par plus the return of the least performing index. If the least performing index falls but each index finishes at or above 70% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index 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, S&P 500 index, Dow Jones industrial average
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| Amount: | $172,000
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| Maturity: | Sept. 3, 2024
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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 its initial level, par plus the lowest return; if the worst performer declines but finishes at or above its downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | Automatically at par plus annualized redemption premium of 9% if each index closes at or above its initial level on any semiannual observation date after one year
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| Initial levels: | 2,273.774 for Russell, 35,360.73 for Dow, 4,522.68 for S&P
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| Downside thresholds: | 1,591.6418 for Russell, 24,752.511 for Dow, 3,165.876 for S&P; 70% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22552XSW4
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