Published on 7/2/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $10 million knock-out notes linked to S&P, Russell, ETF
By Wendy Van Sickle
Columbus, Ohio, July 2 – Credit Suisse AG, London Branch priced $10 million of 0% knock-out notes due July 5, 2022 linked to the Russell 2000 index, the S&P 500 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the final level of the worst performing asset is less than the knock-out level, 80% of the initial level.
If a knock-out event has not occurred, the payout at maturity will be par plus the fixed payment percentage of 11.05%.
If a knock-out event has occurred, investors will lose 1% for every 1% that the final level of the worst performing asset is below the initial level.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Knock-out notes
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| Underlying assets: | S&P 500 index, Russell 2000 index, iShares MSCI Emerging Markets ETF
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| Amount: | $10 million
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| Maturity: | July 5, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 11.05% if worst performing asset finishes above 85% of initial level; if worst performing asset falls below knock-out level, 1% loss for every 1% that final worst performing asset level is below initial level
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| Initial level: | 4,231.5 for S&P, 2,314.28 for Russell, $54.43 for EM ETF
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| Final level: | Average of asset’s closing levels on five trading days ending June 29, 2022
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| Knock-out level: | 3,385.2 for S&P, 1,851.424 for Russell, $43.54 for EM ETF, 80% of initial asset level
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| Pricing date: | June 17
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| Settlement date: | June 22
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 0.4%
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| Cusip: | 22552XNL3
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