Published on 9/2/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $9.66 million contingent income autocalls on Citigroup, Wells Fargo
By Wendy Van Sickle
Columbus, Ohio, Sept. 2 – Credit Suisse AG, London Branch priced $9.66 million of contingent income autocallable securities due Aug. 30, 2024 linked to the shares of Citigroup Inc. and Wells Fargo & Co., according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.35% if each underlying stock closes at or above its 70% coupon barrier on every day that quarter.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly review date after six months.
The payout at maturity will be par unless any underlying 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 with Morgan Stanley Smith Barney LLC as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent income autocallable securities
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| Underlying stocks: | Citigroup Inc. and Wells Fargo & Co.
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| Amount: | $9.66 million
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| Maturity: | Aug. 30, 2024
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| Coupon: | 9.35% annualized, payable quarterly if each stock closes at or above coupon barrier on every day that quarter
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| Price: | Par
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| Payout at maturity: | If each stock finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing stock
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| Call: | At par plus coupon if each stock closes at or above its initial level on any quarterly call date after six months
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| Initial levels: | $72.99 for Citi, $49.81 for Wells
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| Coupon barrier levels: | $51.09 for Citi, $34.87 for Wells; 70% of initial levels
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| Downside thresholds: | $43.79 for Citi, $29.89 for Wells, 60% of initial levels
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| Pricing date: | Aug. 27
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| Settlement date: | Sept. 1
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 2.5%
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| Cusip: | 22552Y820
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