Published on 2/14/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.5 million contingent coupon autocallable yield notes on index, ETFs
By Sarah Lizee
Olympia, Wash., Feb. 14 – Credit Suisse AG, London Branch priced $1.5 million of contingent coupon autocallable yield notes due Feb. 6, 2025 linked to the lowest performing of the Utilities Select Sector SPDR fund, theEuro Stoxx Banks index and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 7.3% if each asset closes at or above its coupon barrier level, 70% of its initial level, on a quarterly observation date.
The notes will be called automatically at par plus the coupon if each asset closes at or above 90% of its initial level on any quarterly observation date after one year.
The payout at maturity will be par unless any asset finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
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: | Utilities Select Sector SPDR fund, Euro Stoxx Banks index and Financial Select Sector SPDR fund
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| Amount: | $1.5 million
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| Maturity: | Feb. 6, 2025
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| Coupon: | 7.3% per year, payable quarterly if each asset closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in level, in which case full exposure to any losses of the least-performing asset
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| Call: | Automatically at par plus coupon if each asset closes at or above 90% of its initial level on any quarterly observation date after one year
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| Initial levels: | $69.20 for utilities ETF, 91.88 for Stoxx, $30.17 for financial ETF
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| Call levels: | $62.28 for utilities ETF, 82.692 for Stoxx, $27.153 for financial ETF; 90% of initial levels
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| Coupon barriers: | $48.44 for utilities ETF, 64.316 for Stoxx, $21.119 for financial ETF; 70% of initial levels
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| Knock-in levels: | $41.52 for utilities ETF, 55.128 for Stoxx, $18.102 for financial ETF; 60% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 6
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.125%
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| Cusip: | 22551NM78
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