Published on 10/6/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $8.22 million contingent income autocallables on AmEx, PayPal
By William Gullotti
Buffalo, N.Y., Oct. 6 – Credit Suisse AG, London Branch priced $8.22 million of autocallable contingent income securities due Sept. 27, 2024 linked to the stock performance of American Express Co. and PayPal Holdings, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 9.5% if each stock closes at or above its coupon barrier level, 70% of the initial level, on every trading date for 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 70% 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: | American Express Co., PayPal Holdings, Inc.
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Amount: | $8,223,000
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Maturity: | Sept. 27, 2024
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Coupon: | 9.5% annual rate, payable quarterly if each stock closes at or above coupon barrier level on every trading day for 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: | $175.72 for AmEx, $278.11 for PayPal
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Coupon barrier levels: | $123.00 for AmEx, $194.68 for PayPal; 70% of initial prices
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Barrier levels: | $123.00 for AmEx, $194.68 for PayPal; 70% of initial prices
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Pricing date: | Sept. 24
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Settlement date: | Sept. 29
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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: | 22551G184
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