Published on 3/28/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.77 million contingent coupon callable yield notes on SPDR ETFs
Chicago, March 29 – Credit Suisse AG, London Branch priced $1.77 million of contingent coupon callable yield notes due March 4, 2024 linked to the least performing of the Health Care Select Sector SPDR fund, the Financial Select Sector SPDR fund and the Industrial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 9.75% if each fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
Credit Suisse may redeem the notes at par plus the coupon on any contingent coupon payment date after one year.
The payout at maturity will be par unless any fund finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the least-performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying funds: | Health Care Select Sector SPDR fund, the Financial Select Sector SPDR fund and the Industrial Select Sector SPDR fund
|
| Amount: | $1,769,000
|
| Maturity: | March 4, 2024
|
| Coupon: | 9.75% per year, payable quarterly if each fund closes at or above its coupon barrier on the related observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any fund finishes below its knock-in level, in which case full exposure to the losses of the least-performing fund
|
| Call: | At par plus coupon on any contingent coupon payment date after one year
|
| Initial levels: | $33.55 for Financial, $93.28 for Industrial, $114.74 for Health
|
| Coupon barrier levels: | $23.485 for Financial, $65.296 for Industrial, $80.318 for Health, 70% of initial levels
|
| Knock-in levels: | $23.485 for Financial, $65.296 for Industrial, $80.318 for Health, 70% of initial levels
|
| Pricing date: | Feb. 25
|
| Settlement date: | March 2
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.6%
|
| Cusip: | 22552XE25
|
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