Published on 3/27/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.43 million contingent coupon autocalls on S&P, Russell
Chicago, March 29 – Credit Suisse AG, London Branch priced $5.43 million of autocallable contingent coupon securities due Aug. 26, 2022 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup, Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 7% if each index closes at or above its 70% coupon barrier value on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call review date.
The payout at maturity will be par plus any coupon unless any index finishes below its 70% knock-in level, in which case investors will be fully exposed to the decline of the worst performing index.
Credit Suisse Securities (USA) LLC and InCapital LLC are the underwriters.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent coupon equity-linked notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $5,427,000
|
| Maturity: | Aug. 26, 2022
|
| Coupon: | 7% annualized, payable quarterly if each index closes at or above coupon barrier on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above knock-in level, par plus any coupon; otherwise, 1% loss for each 1% decline of worst performing index from its initial level
|
| Call: | At par if each index closes at or above its initial level on any quarterly call review date
|
| Initial levels: | 3881.37 for S&P, 2231.314 for Russell
|
| Coupon barriers: | 2716.959 for S&P, 1561.9198 for Russell, 70% of initial levels
|
| Knock-in levels: | 2716.959 for S&P, 1561.9198 for Russell, 70% of initial levels
|
| Pricing date: | Feb. 23
|
| Settlement date: | Feb. 26
|
| Underwriters: | Credit Suisse Securities (USA) LLC and InCapital LLC
|
| Fees: | 2.125%
|
| Cusip: | 22552XB85
|
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