Published on 9/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $7.83 million contingent income autocalls on S&P, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Sept. 24 – Credit Suisse AG, London Branch priced $7.83 million of contingent income autocallable securities due Dec. 22, 2022 linked to the worst performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.2% if each index closes at or above its coupon barrier, 75% of its initial level, on the determination date for that period.
The notes will be called at par plus the contingent coupon if each index closes above its initial level on any quarterly redemption date.
The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse International is the agent. Morgan Stanley Wealth Management is the dealer.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent income autocallable securities
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Underlying indexes: | S&P 500 index and Nasdaq-100 index
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Amount: | $7,829,000
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Maturity: | Dec. 22, 2022
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Coupon: | 9.2% per year, payable each quarter if each index closes at or above coupon barrier on determination date for that period
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Price: | Par of $10
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Payout at maturity: | If final share price of least performing index is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worst performer
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Call: | Par plus the contingent coupon if each index closes above its initial level on any quarterly redemption date
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Initial prices: | 3,319.47 for S&P, 10,936.98 for Nasdaq
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Coupon barriers: | 2,489.6 for S&P, 8,202.74 for Nasdaq; 75% of initial share prices
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Downside thresholds: | 2,489.6 for S&P, 8,202.74 for Nasdaq; 75% of initial share prices
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Pricing date: | Sept. 18
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Settlement date: | Sept. 23
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Agent: | Credit Suisse International
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 2.5%
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Cusip: | 22552WKP9
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