Published on 2/16/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.48 million autocallable contingent income securities on ETFs
By William Gullotti
Buffalo, N.Y., Feb. 16 – Credit Suisse AG, London Branch priced $1.48 million of autocallable contingent income securities due March 14, 2024 linked to the performance of the KraneShares CSI China Internet ETF, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 11.5% if each ETF closes at or above its coupon barrier level, 60% of the initial level, on the relevant observation date.
The notes will be called at par plus the coupon if each ETF closes at or above its initial share price on any quarterly call observation date.
If the notes are not called and each ETF finishes at or above its 60% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the worst performer 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 funds: | KraneShares CSI China Internet ETF, iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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| Amount: | $1.48 million
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| Maturity: | March 14, 2024
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| Coupon: | 11.5% annual rate, payable quarterly if each ETF closes at or above coupon barrier level on the corresponding observation date
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| Price: | Par of $10
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| Payout at maturity: | If each ETF finishes at or above barrier level, par plus final coupon; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Call: | At par plus coupon due each ETF closes at or above initial price on any quarterly call observation date
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| Initial levels: | $52.51 for KraneShares, $223.81 for iShares, $448.98 for SPDR
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| Coupon barrier levels: | $31.51 for KraneShares, $134.29 for iShares, $269.39 for SPDR; 60% of initial prices
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| Barrier levels: | $31.51 for KraneShares, $134.29 for iShares, $269.39 for SPDR; 60% of initial prices
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| Pricing date: | Sept. 9
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| Settlement date: | Sept. 14
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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: | 1.56%
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| Cusip: | 22551G101
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