Published on 11/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.64 million autocallable securities on Russell, MSCI EM
By Kiku Steinfeld
Chicago, Nov. 22 – Credit Suisse AG, London Branch priced $1.64 million of 0% autocallable securities due Nov. 8, 2024 linked to the MSCI Emerging Markets index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 9.3% if each underlying index closes at or above its corresponding call level on either of two annual review dates. The call level will be set at 100% of each index’s initial level for the first review date and at 95% for the second review date.
If the notes are not called, the payout at maturity will be the contingent return of 27.9% if each index finishes at or above its threshold level, 90% of its initial level.
If any index finishes below its 90% threshold level but the lowest performer finishes no lower than its knock-out-level, 70% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% drop of the lowest performing index 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 indexes: | Russell 2000, MSCI Emerging Markets
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| Amount: | $1.64 million
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| Maturity: | Nov. 8, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 27.9% if each index finishes at or above its threshold level; if lowest performer falls below threshold but no lower than knock-in level, par; otherwise, 1% loss for each 1% decline of lesser performing index
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| Call: | Automatically at par plus 9.3% per year if each index closes at or above 100% of its initial level on Nov. 14, 2022 or 95% of its initial level on Nov. 6, 2023
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| Initial levels: | 2437.083 for Russell, 1264.07 for EM
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| Threshold levels: | 2193.3747 for Russell, 1137.663 for EM, 90% of initial levels
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| Knock-in levels: | 1705.9581 for Russell, 884.849 for EM, 70% of initial levels
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| Pricing date: | Nov. 5
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| Settlement date: | Nov. 10
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22553P3M9
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