By Wendy Van Sickle
Columbus, Ohio, Nov. 24 – Credit Suisse AG, London Branch priced $6.11 million of autocallable contingent income securities due Nov. 26, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 5.45% if the index closes at or above the coupon barrier, 75% of the initial level, on the observation date for that quarter.
The notes will be automatically called at par plus the coupon if the index closes at or above the initial level on any quarterly observation date.
If the notes are not called and the final index level is greater than or equal to the 75% downside threshold, the payout at maturity will be par plus the coupon. Otherwise, investors will lose 1% for every 1% decline of the index from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC will act as distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent income securities
|
| Underlying index: | S&P 500 index
|
| Amount: | $6,107,000
|
| Maturity: | Nov. 26, 2021
|
| Coupon: | 5.45% annual rate, payable quarterly if index closes at or above coupon barrier on observation date
|
| Price: | Par
|
| Call: | At par plus coupon if index closes at or above initial level on any quarterly observation date
|
| Payout at maturity: | Par plus final coupon unless index finishes below downside threshold, in which case 1% loss for every 1% decline from initial level
|
| Initial level: | 3,557.54
|
| Coupon barrier/downside threshold: | 2,668.16, 75% of initial level
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 25
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Distributor: | Morgan Stanley Smith Barney LLC
|
| Fees: | 1.25%
|
| Cusip: | 22552WSW6
|
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