Published on 3/24/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.44 million autocallable securities on three stocks
Kiku Steinfeld
Chicago, March 24 – Credit Suisse AG, London Branch priced $1.44 million of 0% autocallable securities due March 21, 2024 linked to the lowest performing of the stocks of Amazon.com, Inc., Morgan Stanley and Zoom Video Communications, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 26.7% if each stock finishes above 90% of its initial level on any quarterly observation date.
If the notes are not called and the final level of each stock is equal to or greater than 90% of its initial level, the payout at maturity will be par plus 80.1%.
Investors will receive par if the worst performing stock declines more than 10% but not more than 35% from its initial level.
If the final level of any stock is less than its 65% knock-in level, investors will lose 1% for each 1% decline of the least performing stock from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying stocks: | Amazon.com, Inc., Morgan Stanley and Zoom Video Communications, Inc.
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| Amount: | $1,436,000
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| Maturity: | March 21, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If all stocks finish above 90% of initial level, par plus 80.1%; par if worst performer declines more than 10% but less than 35% from initial level; otherwise, full exposure to losses of worst performer
|
| Call: | Automatically at par plus 26.7% annualized premium if each stock finishes above 90% of its initial level on any quarterly observation date
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| Initial levels: | $3,091.86 for Amazon, $82.54 for Morgan Stanley and $335.08 for Zoom
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| Knock-in levels: | $2,009.709 for Amazon, $53.651 for Morgan Stanley and $217.802 for Zoom; 65% of initial levels
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| Threshold levels: | $2,782.674 for Amazon, $74.286 for Morgan Stanley and $301.572 for Zoom, 90% of initial levels
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| Pricing date: | March 16
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| Settlement date: | March 19
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 17328YZJ6
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