Published on 4/27/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $100,000 autocallable securities linked to S&P, Russell, Dow
By Angela McDaniels
Tacoma, Wash., April 27 – Credit Suisse AG, London Branch priced $100,000 of 0% autocallable securities due June 3, 2025 linked to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
After one year, the notes will be automatically called at par plus 11.5% per year if each index closes at or above its call level on any semiannual call observation date. For each index, the call level is 100% of its initial level on May 31, 2023, 95% of its initial level on Nov. 29, 2023 and May 29, 2024 and 90% of its initial level on Nov. 27, 2024.
If the notes are not called, the payout at maturity will be par plus 10% if the worst-performing index finishes at or above its threshold level, 90% of its initial level. If the worst-performing index finishes below its threshold level but at or above its knock-in level, 70% of its initial level, the payout will be par. Otherwise, investors will be exposed to the decline of the worst-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $100,000
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| Maturity: | June 3, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% if worst-performing index finishes at or above threshold level; if worst-performing index finishes below threshold level but at or above knock-in level, par; otherwise, 1% loss for every 1% that worst-performing index declines from initial level
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| Call: | After one year, notes will be automatically called at par plus 11.5% per year if each index closes at or above call level on any semiannual call observation date
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| Initial levels: | 4,132.15 for S&P, 1,864.043 for Russell and 32,990.12 for Dow
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| Threshold levels: | 3,718.935 for S&P, 1,677.6387 for Russell and 29,691.108 for Dow, or 90% of initial levels
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| Knock-in levels: | 2,891.505 for S&P, 1,304.8301 for Russell and 23,093.084 for Dow, or 70% of initial levels
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| Call levels: | For each index, 100% of initial level on May 31, 2023, 95% of initial level on Nov. 29, 2023 and May 29, 2024 and 90% of initial level on Nov. 27, 2024
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| Pricing date: | May 31, 2022
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| Settlement date: | June 3, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22553PV22
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