Published on 4/16/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $325,000 contingent market-linked autocalls on ETFs
By Wendy Van Sickle
Columbus, Ohio, April 16 – Credit Suisse AG priced $325,000 of market-linked securities due March 29, 2022 – autocallable with contingent coupon and contingent downside linked to the least performing of the Communication Services Select Sector SPDR fund, the SPDR S&P Bank ETF and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 9% 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 monthly observation date after six months.
The payout at maturity will be par unless any ETF finishes below its 65% 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: | Communication Services Select Sector SPDR fund, SPDR S&P Bank ETF and SPDR S&P Biotech ETF
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| Amount: | $325,000
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| Maturity: | March 29, 2022
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| Coupon: | 9% annualized, payable monthly if each ETF closes at or above 75% 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 25%, 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: | $73.03 for Communication, $52.33 for S&P Bank, $130.11 for S&P Biotech
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| Coupon thresholds: | $47.4695 for Communication, $34.0145 for S&P Bank, $84.5175 for S&P Biotech; 65% of initial levels
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| Downside thresholds: | $47.4695 for Communication, $34.0145 for S&P Bank, $84.5175 for S&P Biotech; 65% of initial levels
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| Pricing date: | March 30
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| Settlement date: | April 5
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 1.275%
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| Cusip: | 22552XDJ9
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