Published on 12/6/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.4 million contingent income autocallables linked to ETFs
By Sarah Lizee
Olympia, Wash., Dec. 6 – Credit Suisse AG, London Branch priced $3.4 million of autocallable contingent income securities due Nov. 28, 2022 linked to the worst performing of the Industrial Select Sector SPDR fund, the Financial Select Sector SPDR fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 9% per year if each ETF closes at or above its coupon barrier, 75% of its initial share price, on each day during that quarter.
The notes will be automatically called at par of $10 plus the contingent coupon if each ETF closes at or above its initial share price on any quarterly observation date.
If each ETF finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If any ETF finishes below its downside threshold level, investors will lose 1% for every 1% that the worst-performing ETF declines from its initial share price.
Credit Suisse Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying ETFs: | Industrial Select Sector SPDR fund, the Financial Select Sector SPDR fund and the Technology Select Sector SPDR fund
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| Amount: | $3,403,410
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| Maturity: | Nov. 28, 2022
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| Coupon: | 9% annualized, payable quarterly if each ETF closes at or above coupon barrier on each day that period
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| Price: | Par
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| Payout at maturity: | Par unless any ETF finishes below its threshold level, in which case investors will be fully exposed to any losses of the worst performing ETF
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| Call: | At par if each component closes at or above its initial level on any quarterly observation date
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| Initial levels: | $81.67 for industrial, $29.92 for financial, $86.59 for technology
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| Coupon barriers: | $61.25 for industrial, $22.44 for financial, $64.94 for technology, 75% of initial levels
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| Downside thresholds: | $49.00 for industrial, $17.95 for financial, $51.95 for technology, 60% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 27
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| Underwriter: | Credit Suisse Securities (USA) Inc. with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 2.5%
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| Cusip: | 22550K640
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