Published on 2/12/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $7.75 million contingent income autocallables on three ETFs
By Wendy Van Sickle
Columbus, Ohio, Feb. 12 – Credit Suisse AG, London Branch priced $7.75 million of contingent income autocallable securities due May 10, 2022 linked to the least performing of the common ETFs of Financial Select Sector SPDR fund, Utilities Select Sector SPDR fund and Health Care 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 9.8% per year if each ETF closes at or above its downside threshold, 70% of its initial level, on every trading day that quarter.
The notes will be automatically called at par if each ETF closes at or above its initial level on any quarterly determination date.
The payout at maturity will be par unless any ETF finishes below its downside threshold level, in which case investors will lose 1% for every 1% that the least-performing ETF declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent income autocallable securities
|
| Underlying ETFs: | Financial Select Sector SPDR fund, Utilities Select Sector SPDR fund and Health Care Select Sector SPDR fund
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| Amount: | $7,745,000
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| Maturity: | May 10, 2022
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| Coupon: | 9.8% per year, payable quarterly if each ETF closes at or above downside threshold level on every trading day that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any ETF finishes below downside threshold level, in which case 1% loss for every 1% that least-performing ETF declines from initial level
|
| Call: | Automatically at par if each ETF closes at or above initial level on any quarterly determination date
|
| Initial levels: | $30.17 for Financial, $68.79 for Utilities, $103.76 for Health Care
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| Downside thresholds: | $23.30 for Financial, $51.59 for Utilities, $77.82 for Health Care, or 70% of initial levels
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 10
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Selected dealer: | Morgan Stanley Wealth Management
|
| Fees: | 2%
|
| Cusip: | 22550N289
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