Published on 1/24/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.34 million contingent income autocalls on three ETFs
By Wendy Van Sickle
Columbus, Ohio, Jan. 24 – Credit Suisse AG priced $1.34 million of autocallable contingent income securities due July 23, 2020 linked to the least performing of the SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.5% if each ETF closes at or above its 80% coupon barrier every day that quarter.
The notes will be called at par of $10 plus the contingent coupon if each ETF closes at or above its initial share price on any observation date.
The payout at maturity will be par plus the contingent coupon unless any ETF finishes below its initial level and any ETF closes below its 70% downside threshold any day during the life of the notes, in which case investors will be fully exposed to any losses of the least performing ETF.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Wealth Management is handling distribution.
Issuer: | Credit Suisse AG
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Issue: | Autocallable contingent income securities
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Underlying ETFs: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF and SPDR S&P Regional Banking ETF
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Amount: | $1,335,000
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Maturity: | July 23, 2020
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Coupon: | 9.5% per year, payable quarterly if each ETF closes at or above coupon barrier on each day that quarter
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Price: | Par
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Payout at maturity: | If each ETF finishes at or above initial level or no ETF closes below downside threshold any day during life of notes, par; otherwise, full exposure to decline of least performing ETF
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Call: | At par if each ETF closes at or above initial level on any determination date
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Initial prices | $280.41 for S&P, $158.60 for Russell, $63.03 for Regional Banking
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Coupon barriers: | $224.33 for S&P, $126.88 for Russell, $50.42 for Regional Banking, 80% of initial share price
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Downside thresholds: | $196.29 for S&P, $111.02 for Russell, $44.12 for Regional Banking, 70% of initial share price
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Pricing date: | Jan. 19
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Settlement date: | Jan. 24
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Agent: | Credit Suisse Securities (USA) LLC
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Distribution: | Morgan Stanley Wealth Management
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Fees: | 2.5%
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Cusip: | 22550WA23
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