Published on 1/15/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $8.53 million contingent income autocalls on three stocks
By Wendy Van Sickle
Columbus, Ohio, Jan. 15 – Credit Suisse AG, London Branch priced $8.53 million of contingent income autocallable securities due Jan. 17, 2024 linked to the worst performing of the stocks of Microsoft Corp., Apple Inc. and Alphabet Inc., according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 10.75% if each stock closes at or above its coupon barrier, 70% of its initial level, on the determination date for that period.
The notes will be called at par plus the contingent coupon if each stock closes above its initial level on any quarterly redemption date after six months.
The payout at maturity will be par unless any stock finishes below its 60% downside threshold, in which case investors will be fully exposed to any losses of the worst performing stock.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is the distributor.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent income autocallable securities
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Underlying stocks: | Microsoft Corp., Apple Inc. and Alphabet Inc.
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Amount: | $8.53 million
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Maturity: | Jan. 17, 2024
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Coupon: | 10.75% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period
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Price: | Par of $10
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Payout at maturity: | If final share price of least performing stock is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worst performer
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Call: | Par plus the contingent coupon if each stock closes above its initial level on any quarterly redemption date after six months
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Initial share prices: | $271.49 for Microsoft, $128.98 for Apple, $1,765.29 for Alphabet
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Coupon barriers: | $152.24 for Microsoft, $90.29 for Apple, $1,229.40 for Alphabet; 70% of initial share prices
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Downside thresholds: | $130.49 for Microsoft, $77.39 for Apple, $1,053.77 for Alphabet; 60% of initial share prices
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Pricing date: | Jan. 11
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Settlement date: | Jan. 14
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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: | 2.5%
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Cusip: | 22551F343
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