Published on 2/9/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.43 million contingent market-linked autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, Feb. 9 – Credit Suisse AG priced $3.43 million of market-linked securities due Jan. 29, 2024 – 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 quarterly coupon at an annual rate of 10.4% if each ETF closes at or above its 65% coupon threshold on the observation date for that period.
The notes will be called at par if each ETF closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any ETF finishes below its 60% downside threshold, in which case the payout will be par plus the return of the worst performing ETF 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 ETFs: | 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: | $3,426,000
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| Maturity: | Jan. 29, 2024
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| Coupon: | 10.4% annualized, payable quarterly if each ETF 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 ETF falls by more than 40%, in which case 1% loss per 1% decline of worst performing ETF
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| Call: | At par if each ETF closes at or above its initial level on any interest payment date after six months
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| Initial levels: | $132.04 for Technology, $29.54 for Financial, $65.44 for Staples, $40.67 for Energy
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| Coupon thresholds: | $85.826 for Technology, $19.201 for Financial, $42.536 for Staples, $26.4355 for Energy; 65% of initial levels
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| Downside thresholds: | $79.224 for Technology, $17.724 for Financial, $39.264 for Staples, $24.402 for Energy; 60% of initial levels
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| Pricing date: | Jan. 28
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| Settlement date: | Feb. 2
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.3%
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| Cusip: | 22552X2V4
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