Published on 10/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $10 million review notes on S&P, Russell, iShares MSCI EM
By Wendy Van Sickle
Columbus, Ohio, Oct. 5 – Credit Suisse AG, London Branch priced $10 million of 0% review notes due Oct. 3, 2024 linked to the least performing of the S&P 500 index, Russell 2000 index and iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 11.26% if each asset closes at or above its applicable call level on any annual review date. For each asset, the call level will be 100% of the initial price for the first three review dates and 75% of the initial price for the final review date.
If the notes are not called, investors will be fully exposed to any losses of the worst performing asset.
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: | Review 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: | Oct. 3, 2024
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| Coupon: | 0%
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| Price: | Par
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| Call: | At par plus 11.26% per year if each asset closes at or above call level on any annual review date; call level will be 100% of the initial price for first three dates and 75% the initial price for the final date
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| Payout at maturity: | If not called, 1% loss for each 1% decline of worst performing asset
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| Initial levels: | 4,379.0 for S&P, 2,246.0 for Russell, $50.53 for ETF
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| Final call levels: | 3,284.25 for S&P, 1,684.5 for Russell, $37.90 for ETF, 75% of initial levels
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| Final price | For each asset, average of the closing share prices of that asset for each of the five trading days ending Nov. 20, 2024
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 4
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 0.5%
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| Cusip: | 22552XWX7
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