Published on 12/2/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $837,000 autocallable securities on S&P, Russell, Dow
By Kiku Steinfeld
Chicago, Dec. 2 – Credit Suisse AG, London Branch priced $837,000 of 0% autocallable securities due March 31, 2025 linked to the lowest performing of the Russell 2000 index, the Dow Jones industrial average 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 9.5% if all indexes close at or above their call levels, 100% of their initial levels, on any semiannual observation date starting after one year.
If the notes are not called and the final level of each index is equal to or greater than its initial level, the payout at maturity will be par plus the return of the worst performer.
If the worst performer falls but not more than the 70% knock-in level, the payout at maturity will be par. If the final level of any index is less than its knock-in level, investors will lose 1% for each 1% decline of the lesser 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: | Dow Jones industrial average, S&P 500 index, Russell 2000 index
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| Amount: | $837,000
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| Maturity: | March 31, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus return of worst performer if all indexes close above initial levels; par if worst performer declines but finishes above knock-in level; otherwise, full exposure to losses of worst performer
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| Call: | Automatically at par plus annualized redemption premium of 9.5% if each index closes at or above 100% of its initial level on any semiannual observation date after one year
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| Initial levels: | 34,955.89 for Dow, 2,078.060 for Russell, 4,575.52 for S&P
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| Knock-in levels: | 24,469.123 for Dow, 1,454.642 for Russell, 3,202.864 for S&P; 70% of initial levels
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| Pricing date: | March 28
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| Settlement date: | March 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22553PM55
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