Published on 1/27/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $24.96 million contingent coupon autocallable yield notes on three ETFs
By Wendy Van Sickle
Columbus, Ohio, Jan. 27 – Credit Suisse AG, London Branch priced $24.96 million of contingent coupon autocallable yield notes due Jan. 26, 2023 linked to the least performing of three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The underliers are the SPDR S&P Regional Banking ETF, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR fund.
Contingent coupons are payable quarterly at an annual rate of 14.65% if each asset closes above its coupon barrier, 70% of its initial level, on the related observation date.
The notes will be called at par if the shares of the least performing asset close at or above its initial price on any quarterly trigger observation date.
The payout at maturity will be par unless any of the assets finishes below its 70% knock-in level, in which case investors will be fully exposed to the losses of the worst performing underlying.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | SPDR S&P Regional Banking ETF, SPDR S&P Biotech ETF and Technology Select Sector SPDR fund
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| Amount: | $24,956,000
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| Maturity: | Jan. 26, 2023
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| Coupon: | 14.65% per year, payable quarterly if each asset closes above coupon barrier on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below knock-in price, in which case full exposure to losses of worst performing underlying
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| Call: | At par plus the coupon if all shares close at or above initial share price on any quarterly trigger observation date
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| Initial prices: | $57.96 for Regional Banking ETF, $152.56 for biotech ETF, $132.83 for technology fund
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| Coupon barriers: | $40.572 for Regional Banking ETF, $106.792 for biotech ETF, $92.981 for technology fund; 70% of initial levels
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| Knock-in levels: | $40.572 for Regional Banking ETF, $106.792 for biotech ETF, $92.981 for technology fund; 70% of initial levels
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| Pricing date: | Jan. 22
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| Settlement date: | Jan. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22552X4W0
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