Published on 2/19/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.21 million contingent coupon autocallable yield notes on three ETFs
By Wendy Van Sickle
Columbus, Ohio, Feb. 19 – Credit Suisse AG, London Branch, priced $1.21 million of contingent coupon autocallable yield notes due Feb. 9, 2023 linked to the least performing of the SPDR S&P Regional Banking ETF, the Consumer Staples Select Sector SPDR fund and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 14.5% per year if each asset closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if each asset closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless either asset finishes below its 70% knock-in level, in which case investors will be exposed to the decline of the least-performing asset from its initial level.
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, Consumer Staples Select Sector SPDR fund and SPDR S&P Biotech ETF
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Amount: | $1.21 million
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Maturity: | Feb. 9, 2023
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Coupon: | 14.5% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
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Price: | Par
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Payout at maturity: | Par unless either asset finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing asset from its initial level
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Call: | Par plus the coupon if each asset closes above its initial level on any quarterly trigger observation date
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Initial levels: | $58.95 for Regional Banking, $65.76 for Consumer Staples, $166.78 for Biotech
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Coupon barrier levels: | $41.265 for Regional Banking, $46.032 for Consumer Staples, $116.746 for Biotech, or 70% of initial levels
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Knock-in levels: | $41.265 for Regional Banking, $46.032 for Consumer Staples, $116.746 for Biotech, or 70% of initial levels
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Pricing date: | Feb. 5
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Settlement date: | Feb. 10
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.225%
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Cusip: | 22552XBE2
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