Published on 10/6/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3 million autocallable contingent income securities with memory
By William Gullotti
Buffalo, N.Y., Oct. 6 – Credit Suisse AG, London Branch priced $3 million of autocallable contingent income securities with memory coupon feature due Jan. 3, 2025 linked to the performance of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 11.70% if each index closes at or above its coupon barrier level, 70% of the initial level, on the relevant observation date. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
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 are not called and each index finishes at or above its 70% barrier level, the payout at maturity will be par plus all of the unpaid coupons. 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 with memory coupon feature
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $3 million
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| Maturity: | Jan. 3, 2025
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| Coupon: | 11.70% annual rate, payable quarterly if each index closes at or above coupon barrier level on the corresponding observation date; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier level, par plus all unpaid coupons; 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 after six months
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| Initial levels: | 3,585.62 for S&P, 1,664.716 for Russell, 10,971.22 for Nasdaq
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| Coupon barrier levels: | 2,509.93 for S&P, 1,165.301 for Russell, 7,679.85 for Nasdaq; 70% of initial prices
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| Barrier levels: | 2,509.93 for S&P, 1,165.301 for Russell, 7,679.85 for Nasdaq; 70% of initial prices
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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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: | 22553QMU8
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