Published on 8/20/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.28 million autocallable contingent income securities on Alibaba, Baidu
By William Gullotti
Buffalo, N.Y., Aug. 20 – Credit Suisse AG, London Branch priced $6.28 million of autocallable contingent income securities due Aug. 16, 2024 linked to the least performing of the American Depositary Shares of Alibaba Group Holding Ltd. and Baidu, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 12% if each stock closes at or above its coupon barrier level, 65% of the initial level, on the relevant observation date.
The notes will be called at par plus the coupon if each stock closes at or above its initial share price on any quarterly call observation date.
If the notes are not called and each stock finishes at or above its 65% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, 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 with Morgan Stanley Smith Barney LLC as the dealer.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying stocks: | Alibaba Group Holding Ltd., Baidu, Inc.
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| Amount: | $6,275,000
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| Maturity: | Aug. 16, 2024
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| Coupon: | 12% annual rate, payable quarterly if each stock closes at or above coupon barrier level on the relevant observation date for that period
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| Price: | Par of $10
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| Payout at maturity: | If each stock finishes at or above barrier level, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing stock from initial level
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| Call: | At par plus coupon if each stock closes at or above initial price on any quarterly call observation date
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| Initial levels: | $188.62 for Alibaba, $152.45 for Baidu
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| Coupon barrier levels: | $122.60 for Alibaba, $99.09 for Baidu; 65% of initial prices
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| Barrier levels: | $122.60 for Alibaba, $99.09 for Baidu; 65% of initial prices
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| Pricing date: | Aug. 13
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| Settlement date: | Aug. 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Dealer: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 22552Y689
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