Published on 3/21/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $8.83 million autocallable contingent income notes on three ETFs
Chicago, March 22 – Credit Suisse AG, London Branch priced $8.83 million of autocallable contingent income securities due Feb. 1, 2024 linked to the least performing of iShares Global Energy ETF, Materials Select Sector SPDR fund and Financial 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 annualized rate of 12.5% if each fund closes at or above its coupon barrier level, 75% of the initial level, on the observation date for that period.
The notes will be called at par of $10 plus the coupon if each fund closes at or above its initial share price on any quarterly call observation date after six months.
If the notes are not called and each fund finishes at or above its 75% barrier level, the payout at maturity will be par plus any final coupon. Otherwise, investors will lose 1% for each 1% decline of the least-performing fund from its initial level.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC as a distributor.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable contingent income securities
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Underlying funds: | iShares Global Energy ETF., Materials Select Sector SPDR fund and Financial Select Sector SPDR fund
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Amount: | $8,831,000
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Maturity: | Feb. 1, 2024
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Coupon: | 12.5% annual rate, payable quarterly if each fund closes at or above coupon barrier level on observation date for that period
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Price: | Par of $10
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Payout at maturity: | If each fund finishes at or above barrier level, par plus any final coupon; otherwise, 1% loss for each 1% decline of the least-performing fund from initial level
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Call: | At par plus coupon if each fund closes at or above initial price on any quarterly call observation date after six months
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Initial levels: | $20.89 for energy, $70.64 for materials and $28.95 for financial
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Coupon barrier levels: | $15.67 for energy, $52.98 for materials and $21.71 for financial, 75% of initial prices
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Barrier levels: | $15.67 for energy, $52.98 for materials and $21.71 for financial, 75% of initial prices
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Pricing date: | Jan. 29
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Settlement date: | Feb. 3
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Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as a distributor
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Fees: | 2.5%
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Cusip: | 22551F459
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