Published on 6/12/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.88 million contingent income autocalls on indexes
By Kiku Steinfeld
Chicago, June 14 – Credit Suisse AG, London Branch priced $1.88 million of autocallable contingent income securities due May 23, 2023 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8% if each index closes at or above its coupon barrier, 70% of its initial level, on the determination date for that period.
The notes will be called at par plus the contingent coupon if each index closes above its initial level on any quarterly redemption date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is the distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $1,881,000
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| Maturity: | May 23, 2023
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| Coupon: | 8% per year, payable each quarter if each index closes at or above coupon barrier on determination date for that period
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price of least performing index is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worst performer
|
| Call: | Par plus the contingent coupon if each index closes above its initial level on any quarterly redemption date
|
| Initial levels: | 4,127.83 for S&P, 13,217.68 for Nasdaq, 2,210.877 for Russell
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| Coupon barrier levels: | 3,095.87 for S&P, 9,913.26 for Nasdaq, 1,658.158 for Russell; 75% of initial levels
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| Downside thresholds: | 3,095.87 for S&P, 9,913.26 for Nasdaq, 1,658.158 for Russell; 75% of initial levels
|
| Pricing date: | May 18
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| Settlement date: | May 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Smith Barney LLC
|
| Fees: | 1.5%
|
| Cusip: | 22552XLK7
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