Published on 2/9/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $676,000 autocallable securities on S&P, Russell, Dow
Chicago, Feb. 9 – Credit Suisse AG, London Branch priced $676,000 of 0% autocallable securities due May 5, 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 10.5% if all indexes close at or above their call levels on any semiannual observation date after one year. The first call level is the initial level. The call level on the second and third autocall observation dates is 95% of the initial levels. On the fourth and final potential autocall date the call level is 90% of the initial level.
If the notes are not called and the final level of each index is equal to or greater than 90% of its initial level, the payout at maturity will be par plus the worst performer’s return plus a 10% digital return.
If the worst performer falls more than 10% but finishes at or above its 70% downside threshold, the payout at maturity will be par. If the final level of any index is less than its downside threshold, 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: | $676,000
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Maturity: | May 5, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the final level of the worst performing index is greater than or equal to 90% of its initial level, par plus worst performer’s return plus 10% digital return; if the worst performer declines more than 10% but not more than 30%, par; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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Call: | Automatically at par plus annualized redemption premium of 10.5% if each index closes at or above call level on any semiannual observation date after one year; call level is 100% of initial level on first call date; 95% of initial level on second and third call dates; 90% of initial level on fourth call date
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Initial levels: | 1864.103 for Russell, 4131.93 for S&P, 32977.21 for Dow
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Threshold levels: | 1677.6927 for Russell, 3718.737 for S&P, 29679.489 for Dow; 90% of initial levels
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Downside thresholds: | 1304.8721 for Russell, 2892.351 for S&P, 23084.047 for Dow; 70% of initial levels
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Pricing date: | April 29, 2022
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Settlement date: | May 4, 2022
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22553PRG6
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