Published on 10/8/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.14 million callable contingent income securities on indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 8 – Credit Suisse AG, London Branch sold $5.14 million of callable contingent income securities due July 25, 2024 tied to the worst performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at the rate of 7.5% per year if each index closes at or above its coupon threshold level, 75% of its initial level, on the related determination date.
The notes will be callable at par plus any coupon due on any quarterly observation date.
If the notes are not called and each index finishes at or above its coupon threshold, the payout at maturity will be par plus the final coupon.
If the worst performer falls below the coupon threshold but finishes at or above its 75% downside threshold, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Credit Suisse Securities (USA) LLC is the agent Morgan Stanley Smith Barney LLC as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Callable contingent income securities
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $5,135,000
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| Maturity: | July 25, 2024
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| Coupon: | 7.5% per year, payable monthly if each index closes at or above its coupon threshold level on the related determination date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above coupon threshold; if the worst performer declines below coupon threshold but finishes at or above downside threshold, par; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
|
| Call option: | At par plus any coupon due on any quarterly observation date
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| Initial levels: | 14,728.21 for Nasdaq, 2,194.298 for Russell, 4,323.06 for S&P
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| Coupon threshold levels: | 11,046.16 for Nasdaq, 1,645.724 for Russell, 3,242.3 for S&P; 75% of initial levels
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| Downside threshold levels: | 11,046.16 for Nasdaq, 1,645.724 for Russell, 3,242.3 for S&P; 75% of initial levels
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| Pricing date: | July 20
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| Settlement date: | July 23
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 1.875%
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| Cusip: | 22552XQH9
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