Published on 4/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $261,000 contingent coupon autocallable yield notes on ETFs
By Sarah Lizee
Olympia, Wash., April 6 – Credit Suisse AG, London Branch priced $261,000 of contingent coupon autocallable yield notes due March 31, 2025 linked to the lesser performing of the Energy Select Sector SPDR Fund, Financial Select Sector SPDR Fund and Technology Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 15% if each fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be automatically redeemed if both funds close above their initial prices on a quarterly trigger observation date after six months.
The payout at maturity will be par unless either fund finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing fund.
Incapital LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | Energy Select Sector SPDR Fund, Financial Select Sector SPDR Fund and Technology Select Sector SPDR Fund
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| Amount: | $261,000
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| Maturity: | March 31, 2025
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| Coupon: | 15% per year, payable quarterly if each fund closes at or above its coupon barrier on the related observation date
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| Price: | Par
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| Payout at maturity: | Par unless either fund finishes below its knock-in level, in which case investors will be fully exposed to any losses of the least-performing fund
|
| Call: | At par on any quarterly trigger observation date after six months
|
| Initial prices: | $30.39 for energy ETF, $21.67 for financial ETF, $82.31 for technology ETF
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| Coupon barrier levels: | $21.273 for energy ETF, $15.169 for financial ETF, $57.617 for technology ETF; 70% of initial levels
|
| Knock-in levels: | $18.234 for energy ETF, $13.002 for financial ETF, $49.386 for technology ETF; 60% of initial levels
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| Pricing date: | March 26
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| Settlement date: | March 31
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| Agent: | Incapital LLC
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| Fees: | 3.25%
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| Cusip: | 22551NTR7
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