By Taylor Fox
New York, Feb. 8 – Credit Suisse AG, London Branch priced $10.87 million of 0% buffered Performance Leveraged Upside Securities with autocallable feature due Feb. 11, 2022 linked to the worst performing of the Industrial Select Sector SPDR fund and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an early redemption premium of 10.2% if both funds finish above their initial levels on July 26, 2021.
If both funds finish above their initial levels, the payout at maturity will be par plus 150% of the return of the worst performer. Investors will receive par if either fund declines by 10% or less and will lose 1% for every 1% that the worst performer declines beyond 10%.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC as distributor.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Buffered Performance Leveraged Upside Securities with autocallable feature
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Underlying funds: | Industrial Select Sector SPDR fund and the Financial Select Sector SPDR fund
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Amount: | $10,868,750
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Maturity: | Feb. 11, 2022
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Coupon: | 0%
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Price: | Par of $10
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Call: | Automatically at par plus 10.2% if both funds finish above their initial levels on July 26, 2021
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Payout at maturity: | If both funds finish above initial levels, par plus 150% of return of worst performer; par if worst performer declines by 10% or less; 1% loss for every 1% that worst performing fund declines beyond 10%
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Initial levels: | $89.61 for Industrial Select and $30.92 for Financial Select
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Buffer levels: | $80.65 for Industrial Select and $27.83 for Financial Select, 90% of initial level
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Pricing date: | Jan. 8
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Settlement date: | Jan. 13
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Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as distributor
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Fees: | 1.5%
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Cusip: | 22551F319
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