Published on 8/4/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.72 million absolute return barrier autocalls on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Aug. 4 – Credit Suisse AG, London Branch priced $1.72 million of 0% autocallable absolute return barrier securities due Aug. 5, 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 14.8% call premium if each index closes at or above its initial level on July 31, 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 is the agent.
| 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: | $1,723,000
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| Maturity: | Aug. 5, 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 14.8% call premium if each index closes at or above its initial level on July 31, 2023
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| Initial levels: | 4,130.29 for S&P, 1,855.23 for Russell
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| Barrier levels: | 3,097.7175 for S&P, 1,413.9225 for Russell, 75% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22553QBC0
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