Published on 2/24/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.74 million autocallable buffered return equity notes on indexes
By Kiku Steinfeld
Chicago, Feb. 24 – Credit Suisse AG, London Branch priced $5.74 million of 0% autocallable buffered return equity securities due Aug. 19, 2022 linked to the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a 10.3% annualized premium if both indexes close at or above their initial levels either of two semiannual observation dates.
If the notes are not called, investors will receive par plus 15.45% if each index finishes at or above its initial level. Investors will receive par if the lesser performing index falls by up to 20% and will lose 1.25% for each 1% decline of the worse performing index beyond 20%.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable buffered return equity securities
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Underlying indexes: | Russell 2000, Nasdaq-100
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Amount: | $5,740,000
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Maturity: | Aug. 19, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 15.45% if each index finishes at or above its initial level; par if lesser performing index falls by up to 20%; 1.25% loss for each 1% decline of lesser performing index beyond 20%
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Call: | Automatically at par plus 10.3% annualized premium if each index closes at or above its initial level on semiannual date
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Initial levels: | 2289.357 for Russell, 13807.70 for Nasdaq
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Buffer levels: | 1831.4856 for Russell, 11046.16 for Nasdaq; 80% of initial levels
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Pricing date: | Feb. 16
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Settlement date: | Feb. 19
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.2%
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Cusip: | 22552XCB7
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