Published on 12/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $15.19 million contingent market-linked autocalls on funds
By Wendy Van Sickle
Columbus, Ohio, Dec. 24 – Credit Suisse AG priced $15.19 million of market-linked securities due Dec. 27, 2023 – autocallable with contingent coupon and contingent downside linked to the least performing of the Technology Select Sector SPDR fund, the Financial Select Sector SPDR fund, the Consumer Staples Select Sector SPDR fund and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 10.4% if each fund closes at or above its 65% coupon threshold on the observation date for that period.
The notes will be called at par if each fund closes at or above its initial level on any semiannual observation date after six months.
The payout at maturity will be par unless any fund finishes below its 60% downside threshold, in which case the payout will be par plus the return of the worst performing fund with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying funds: | Technology Select Sector SPDR fund, Financial Select Sector SPDR fund, Consumer Staples Select Sector SPDR fund and Energy Select Sector SPDR fund
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| Amount: | $15,187,000
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| Maturity: | Dec. 27, 2023
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| Coupon: | 10.4% annualized, payable semiannually if each fund closes at or above coupon threshold on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any fund falls by more than 40%, in which case 1% loss per 1% decline of worst performing fund
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| Call: | At par if each fund closes at or above its initial level on any interest payment date after six months
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| Initial levels: | $128.08 for Technology, $28.72 for Financial, $66.64 for Consumer, $38.12 for Energy
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| Coupon thresholds: | $83.252 for Technology, $18.668 for Financial, $43.3164 for Consumer, $24.7845 for Energy; 65% of initial levels
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| Downside thresholds: | $76.848 for Technology, $17.232 for Financial, $39.984 for Consumer, $22.878 for Energy; 60% of initial levels
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 24
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 22552WXN0
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