Published on 3/30/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.76 million autocallable securities on indexes
By Kiku Steinfeld
Chicago, March 30 – Credit Suisse AG, London Branch priced $1.76 million of 0% autocallable securities due March 10, 2026 linked to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
Credit Suisse will call the notes at par plus a call premium of 8.35% per year if the closing level of each asset is greater than or equal to its trigger level on any annual call date. The trigger level will be equal to the initial level.
Investors will receive par plus 41.75% if each asset finishes at or above the initial level. If any asset finishes below its initial level but none finishes below its knock-in level, 70% of its initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performing asset from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying assets: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $1,764,000
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| Maturity: | March 10, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 41.75% if each asset finishes at or above initial level; if least performing asset falls but finishes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of the worst performing asset from its initial level
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| Call: | Automatically at par plus annualized premium of 8.35% if each asset closes at or above trigger level on any annual call date; trigger level will be equal to 100% of initial level
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| Initial index levels: | 2,192.212 for Russell, 3,841.94 for S&P, 31496.30 for Dow
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| Coupon barrier levels: | 1534.5484 for Russell, 2689.358 for S&P, 22047.41 for Dow; 70% of initial levels
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| Barrier levels: | 1534.5484 for Russell, 2689.358 for S&P, 22047.41 for Dow; 70% of initial levels
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| Pricing date: | March 5
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| Settlement date: | March 10
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.125%
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| Cusip: | 22552XDR1
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