Published on 2/24/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.7 million autocallable securities linked to three indexes
By Kiku Steinfeld
Chicago, Feb. 24 – Credit Suisse AG, London Branch priced $1.7 million of 0% autocallable securities due Feb. 22, 2024 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Beginning Feb. 23, 2022, if each index closes at or above its initial level on any quarterly valuation date, the notes will be called at par of $10 plus a premium of 11.25% a year.
If each index finishes at or above its threshold level, 70% of its initial level, the payout at maturity will be par plus the 33.75% premium. Otherwise, investors will fully participate in the losses of the worst performer.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and Euro Stoxx Banks index
|
| Amount: | $1,700,000
|
| Maturity: | Feb. 22, 2024
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above its threshold level, par plus 33.75%; otherwise full exposure to losses of worst performer
|
| Call: | Beginning Feb. 23, 2022, automatically at par plus an annualized premium of 11.25% if each index closes at or above its initial level on any quarterly call date
|
| Initial levels: | 2,272.891 for Russell, 13,773.77 for Nasdaq, 81.96 for Stoxx
|
| Threshold levels: | 1,591.024 for Russell, 9,641.64 for Nasdaq, 57.37 for Stoxx; 70% of initial levels
|
| Pricing date: | Feb. 16
|
| Settlement date: | Feb. 19
|
| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as distributor
|
| Fees: | 2.5%
|
| Cusip: | 22551F541
|
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