Published on 2/23/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.48 million autocallable securities linked to Russell, Nasdaq, S&P
By Taylor Fox
New York, Feb. 23 – Credit Suisse AG, London Branch priced $1.48 million of 0% autocallable securities due Feb. 23, 2026 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above 100% of its initial level on any annual call date, the notes will be called at par plus a premium of 8% a year.
If each index finishes at or above 100% of its initial level, the payout at maturity will be par plus the 40% contingent return amount.
If the least-performing index finishes below 100% of its initial level but does not falls by more than 35%, the payout will be par.
Otherwise, investors will fully participate in the losses of the worst performer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
|
| Amount: | $1,478,000
|
| Maturity: | Feb. 23, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index finishes above 100% of its initial level, par plus 40% contingent return amount; par if least-performing index finishes below 100% of initial level but does not falls by more than 35%; otherwise, full exposure to losses of worst performer
|
| Call: | Automatically at par plus an annualized premium of 8% if each index closes at or above 100% of its initial level on any annual call date
|
| Initial levels: | 3,913.97 for S&P, 2,218.385 for Russell and 13,637.51 for Nasdaq
|
| Knock-in levels: | 2,544.0805 for S&P, 1,441.95025 for Russell and 8,864.3815 for Nasdaq; 65% of initial levels
|
| Pricing date: | Feb. 18
|
| Settlement date: | Feb. 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.125%
|
| Cusip: | 22552XCD3
|
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