Published on 10/28/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.61 million contingent coupon autocallable yield notes on ETFs
By Sarah Lizee
Olympia, Wash., Oct. 28 – Credit Suisse AG, London Branch priced $1.61 million of contingent coupon autocallable yield notes due Oct. 28, 2022 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 8% 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 beginning April 23, 2020.
The payout at maturity will be par unless either fund ever 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
|
| Underlying funds: | Energy Select Sector SPDR fund, Financial Select Sector SPDR fund and Technology Select Sector SPDR fund
|
| Amount: | $1,613,000
|
| Maturity: | Oct. 28, 2022
|
| Coupon: | 8% per year, payable quarterly if each fund closes at or above its coupon barrier on the related observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either fund finishes below its knock-in level, in which case full exposure to the losses of the least-performing fund
|
| Call: | At par on any quarterly trigger observation date beginning April 23, 2020
|
| Initial prices: | $59.29 for energy ETF, $28.54 for financial ETF, $80.75 for tech ETF
|
| Coupon barrier levels: | $41.503 for energy ETF, $19.978 for financial ETF, $56.525 for tech ETF; 70% of initial levels
|
| Knock-in levels: | $29.645 for energy ETF, $14.27 for financial ETF, $40.375 for tech ETF; 50% of initial levels
|
| Pricing date: | Oct. 23
|
| Settlement date: | Oct. 28
|
| Agent: | Incapital LLC
|
| Fees: | 3%
|
| Cusip: | 22551N3M6
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