Published on 6/14/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.95 million absolute return buffered autocalls on Nasdaq, S&P
By Wendy Van Sickle
Columbus, Ohio, June 14 – Credit Suisse AG, London Branch priced $2.95 million of 0% autocallable absolute return buffered securities due June 13, 2024 linked to the lowest performing of the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 11.85% if each index closes at or above its initial level on June 16, 2023.
If each index finishes at or above the initial level, the payout at maturity will be par plus 1.5 times the return of the worse performing index.
If each index finishes at or above the 85% buffer 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 least performing index beyond the 15% buffer.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable absolute return buffered securities
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index
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| Amount: | $2.95 million
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| Maturity: | June 13, 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 1.5 times return of worse performing index; if each index finishes at or above buffer level, par plus the absolute value of return of worse performing index; otherwise, exposure to any losses of worse performing index beyond 15%
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| Call: | At par plus 11.85% if each index closes above initial level on June 16, 2023
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| Initial levels: | 12,269.78 for Nasdaq, 4,017.82 for S&P
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| Buffer levels: | 10,429.313 for Nasdaq, 3,415.147 for S&P; 85% of initial levels
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| Pricing date: | June 9
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| Settlement date: | June 14
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1.75%
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| Cusip: | 22553Q2L0
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