Published on 12/29/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $15.15 million autocallable contingent income securities on stocks
By William Gullotti
Buffalo, N.Y., Dec. 29 – Credit Suisse AG, London Branch priced $15.15 million of autocallable contingent income securities due Nov. 15, 2024 linked to the stock performance of Ally Financial Inc., Citigroup Inc. and Synchrony Financial, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 9.25% if each stock closes at or above its coupon barrier level, 65% of the initial level, on the observation date for that period.
The notes will be called at par plus the coupon if each stock closes at or above its initial share price on any quarterly call observation date.
If the notes are not called and each stock finishes at or above its 65% barrier level, the payout at maturity will be par plus the final coupon. 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 with Morgan Stanley Smith Barney LLC as the dealer.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying stocks: | Ally Financial Inc., Citigroup Inc., Synchrony Financial
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| Amount: | $15,152,630
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| Maturity: | Nov. 15, 2024
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| Coupon: | 9.25% annual rate, payable quarterly if each stock closes at or above coupon barrier level on the observation date for that period
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| Price: | Par of $10
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| Payout at maturity: | If each stock finishes at or above barrier level, par plus final coupon; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Call: | At par plus coupon due each stock closes at or above initial price on any quarterly call observation date
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| Initial levels: | $50.58 for Ally, $69.16 for Citi, $50.18 for Synchrony
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| Coupon barrier levels: | $32.88 for Ally, $44.95 for Citi, $32.62 for Synchrony; 65% of initial prices
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| Barrier levels: | $32.88 for Ally, $44.95 for Citi, $32.62 for Synchrony; 65% of initial prices
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| Pricing date: | Nov. 12
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| Settlement date: | Nov. 17
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| Agent: | Credit Suisse Securities (USA) LLC
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| Dealer: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 22551G549
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