Published on 9/25/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable reverse converts on ETFs
By Kiku Steinfeld
Chicago, Sept. 25 – Credit Suisse AG, London Branch priced $1 million of 17.65% contingent coupon autocallable reverse convertible securities due Sept. 23, 2021 linked to the lowest performing of the Financial Select Sector SPDR fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly if each fund closes at or above its knock-in level on the observation date for that quarter.
The notes will be automatically called at par if each fund closes at or above its initial share price on any quarterly trigger observation date.
The payout at maturity will be par unless any fund finishes below its knock-in price, 80% of its initial share price, in which case investors will receive a number of shares of the worst-performing fund equal to $1,000 divided by that fund’s initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable reverse convertible securities
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| Underlying funds: | Financial Select Sector SPDR fund, Technology Select Sector SPDR fund
|
| Amount: | $1,000,000
|
| Maturity: | Sept. 23, 2021
|
| Coupon: | 17.65%, payable quarterly if each ETF closes at or above knock-in level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any fund finishes below knock-in price, in which case number of shares of worst-performing fund equal to $1,000 divided by that fund’s initial share price or, at issuer’s option, amount in cash equal to value of those shares
|
| Call: | Automatically at par if each fund closes at or above initial share price on any quarterly trigger observation date
|
| Initial share prices: | $24.68 for Finance, $111.76 for Technology
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| Knock-in prices: | $19.744 for Finance, $89.408 for Technology; 80% of initial share prices
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| Pricing date: | Sept. 18
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| Settlement date: | Sept. 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.25%
|
| Cusip: | 22550MKE8
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