Published on 10/21/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million absolute return barrier notes on S&P, Dow
By Wendy Van Sickle
Columbus, Ohio, Oct. 21 – Credit Suisse AG, London Branch priced $1 million of 0% absolute return barrier securities due July 30, 2027 linked to the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above the initial level, the payout at maturity will be par plus 1.4 times the gain of the worse performing index.
If either index declines but finishes at or above the 75% knock-in level, the payout will be par plus the absolute value of the worse performing index.
Otherwise, investors will be fully exposed to the loss of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Absolute return barrier securities
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Underlying indexes: | Dow Jones industrial average and S&P 500
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Amount: | $1 million
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Maturity: | July 30, 2027
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each index gains, par plus 1.4 times the return of worse performing index; if either index declines but finishes above knock-in level, par plus the absolute value of worse performing index; otherwise, full exposure to any losses of worse performing index
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Initial index levels: | 35,058.52 for Dow and 4,401.16 for S&P
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Knock-in levels: | 26,293.89 for Dow and 3,301.095 for S&P, 75% of initial levels
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Pricing date: | July 27
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Settlement date: | July 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0%
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Cusip: | 22552XRN5
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