Published on 6/8/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.49 million autocallable contingent income securities on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, June 8 – Credit Suisse AG, London Branch priced $5.49 million of autocallable contingent income securities due June 6, 2025 linked to the performance of the S&P 500 index and the Russell 2000 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 8.05% 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.
If the notes are not called and each index finishes at or above its 70% 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
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| Amount: | $5,487,000
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| Maturity: | June 6, 2025
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| Coupon: | 8.05% 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: | 4,108.54 for S&P, 1,883.053 for Russell
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| Coupon barrier levels: | 2,875.98 for S&P, 1,318.137 for Russell; 70% of initial levels
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| Barrier levels: | 2,875.98 for S&P, 1,318.137 for Russell; 70% of initial levels
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| Pricing date: | June 3
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| Settlement date: | June 8
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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: | 22553Q2M8
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