Published on 12/20/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.35 million autocallable securities on S&P, Russell
By William Gullotti
Buffalo, N.Y., Dec. 20 – Credit Suisse AG, London Branch priced $3.35 million of 0% autocallable securities due Dec. 20, 2027 linked to the lowest performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annual redemption premium of 7.4% if all indexes close at or above initial levels on any quarterly observation date after one year.
If the notes are not called and the final level of each index is equal to or greater than its initial level, the payout at maturity will be par plus 44.4%.
If the worst performer declines up to 20%, the payout at maturity will be par.
If the final level of any index is less than its 80% downside threshold, investors will lose 1% for each 1% decline of the worst performer from its initial level.
The agent is Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as distributor.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable securities
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Underlying indexes: | Russell 2000 index, S&P 500 index
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Amount: | $3,347,990
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Maturity: | Dec. 20, 2027
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | If final level of the worst performing index is greater than or equal to its initial level, par plus 44.4%; if the worst performer declines by no more than 20%, par; otherwise, 1% loss for each 1% decline of worst performing index from initial levels
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Call: | Automatically at par plus annualized redemption premium of 7.4% if each index closes at or above its initial level on any quarterly observation date after one year
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Initial levels: | 4,709.85 for S&P, 2,195.209 for Russell
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Downside threshold: | 3,767.88 for S&P, 1,756.167 for Russell; 80% of initial levels
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Pricing date: | Dec. 15
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Settlement date: | Dec. 20
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Agent: | Credit Suisse Securities (USA) LLC
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Distributor: | Morgan Stanley Smith Barney LLC
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Fees: | 3.5%
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Cusip: | 22551G739
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