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Published on 1/28/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $4.58 million autocallables linked to two ARK funds

By Taylor Fox

New York, Jan. 28 – Credit Suisse AG, London Branch priced $4.58 million of 0% autocallable securities due Jan. 27, 2026 linked to the lesser-performing of the ARK Genomic Revolution ETF and the ARK Innovation ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annual redemption premium of 20% if the lesser-performing fund closes at or above its initial level on an annual call observation date.

If the notes are not called and the final level of each fund is equal to or greater than its initial level, the payout at maturity will be $2,000 per $1,000 principal amount of notes.

If the final level of either fund is less than its initial level but neither fund finishes below its knock-in level, 50% of its initial level, the payout will be par.

If the final level of either fund is less than its knock-in level, investors will lose 1% for each 1% decline of the lesser performing fund from its initial level.

The agent is Credit Suisse Securities (USA) LLC.

Issuer:Credit Suisse AG, London Branch
Issue:Autocallable securities
Underlying funds:ARK Genomic Revolution ETF and the ARK Innovation ETF
Amount:$4,581,000
Maturity:Jan. 27, 2026
Coupon:0%
Price:Par
Payout at maturity:If lesser-performing fund finishes at or above its initial level, $2,000 per $1,000 principal amount of notes; if final level of lesser-performing fund is less than its initial level but not below its knock-in level, par; otherwise, 1% loss for each 1% decline of lesser-performing fund
Call:Automatically at par plus annualized redemption premium of 20% if each fund closes at or above its initial level
Initial levels:$110.54 for ARK Genomic and $146.08 for ARK Innovation
Knock-in levels:$55.27 for ARK Genomic and $73.04 for ARK Innovation; 50% of initial levels
Pricing date:Jan. 22
Settlement date:Jan. 27
Agent:Credit Suisse Securities (USA) LLC
Fees:4.125%
Cusip:22552X5J8

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