Published on 7/28/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.31 million absolute return barrier autocalls on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, July 28 – Credit Suisse AG, London Branch priced $1.31 million of 0% autocallable absolute return barrier securities due July 29, 2024 linked to the lowest performing 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 be called automatically at par plus a 17% call premium if each index closes at or above its initial level on July 25, 2023.
If each index finishes at or above the initial level, the payout at maturity will be par plus 150% of the return of the worse performing index.
If any index declines but each index finishes at or above the 75% barrier level, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
Credit Suisse Securities (USA) LLC and InspereX LLC are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable absolute return barrier securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $1.31 million
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| Maturity: | July 29, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus 150% of worse performing index’s return; if any index declines but each index finishes at or above barrier level, par plus the absolute value of return of worse performing index; otherwise, full exposure to decline of worst performer from initial level
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| Call: | At par plus 17% call premium if each index closes at or above its initial level on July 25, 2023
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| Initial levels: | 3,966.84 for S&P, 1,817.773 for Russell
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| Barrier levels: | 2,975.13 for S&P, 1,363.32975 for Russell, 75% of initial levels
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| Pricing date: | July 25
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| Settlement date: | July 28
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| Agents: | Credit Suisse Securities (USA) LLC and InspereX LLC
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| Fees: | 2.55%
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| Cusip: | 22553QBB2
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