By Sarah Lizee
Olympia, Wash., Feb. 5 – Credit Suisse AG, London branch priced $10.4 million of autocallable contingent income securities due Feb. 4, 2022 linked to the worst performing of the American Depositary Shares of Itaú Unibanco Holding SA and Vale SA, according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.5% if each stock closes at or above its 50% coupon barrier on the quarterly determination date.
The notes will be called at par plus the contingent coupon and any previously unpaid coupons from prior observation dates if each stock closes at or above its initial level on any quarterly call review date after May 1.
The payout at maturity will be par plus final coupon and any previously unpaid coupons from prior observation dates unless either stock finishes below its 50% downside threshold, in which case investors will be fully exposed to any losses of the worse performing stock.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent income autocallable securities
|
| Underlying stocks: | Itaú Unibanco Holding SA and Vale SA
|
| Amount: | $10,399,000
|
| Maturity: | Feb. 4, 2022
|
| Coupon: | 10.5% annualized, payable quarterly if each stock closes at or above 50% coupon barrier on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each stock finishes at or above downside threshold, par plus final coupon and any previously unpaid coupons from prior observation dates; otherwise, 1% loss for each 1% decline of worst performing stock
|
| Call: | At par plus coupon and any previously unpaid coupons from prior observation dates if the stock closes at or above its initial level on any quarterly determination date
|
| Initial levels: | $10.58 for Itaú, $12.57 for Vale
|
| Downside thresholds: | $5.29 for Itaú, $6.29 for Vale, 50% of initial levels
|
| Pricing date: | Feb. 1
|
| Settlement date: | Feb. 6
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Distributor: | Morgan Stanley Smith Barney LLC
|
| Fees: | 2.5%
|
| Cusip: | 22549Y602
|
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