Published on 6/28/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.15 million autocallable securities on oil and gas, biotech ETFs
By Wendy Van Sickle
Columbus, Ohio, June 28 – Credit Suisse AG, London Branch, priced $2.15 million of 0% autocallable securities due June 30, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 17% a year if each fund closes at or above its initial level on the first annual observation date and 95% of its initial level on the second observation date.
If the return of the lesser performing fund is at least 90% of its initial level, the payout at maturity will be par plus 51%. If the lesser performing fund falls, but not below the 60% knock-in level, the payout at maturity will be par plus 10%. Otherwise, investors will lose 1% for each 1% decline of the laggard fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying ETFs: | SPDR S&P Oil & Gas Exploration & Production and SPDR S&P Biotech
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| Amount: | $2.15 million
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| Maturity: | June 30, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If return of each fund is at least 90% of initial level, par plus 51%, if laggard fund falls by up to 40%, par plus 10%; otherwise, investors will lose 1% for each 1% decline of lesser performing fund
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| Call: | At par plus 17% per year if each fund closes at or above initial level on first annual observation date and 95% of initial level on second annual date
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| Initial prices: | $31.02 for oil and gas ETF, $80.31 for biotech ETF
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| Knock-in levels: | $18.612 for oil and gas ETF, $48.186 for biotech ETF, 60% of initial level
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| Pricing date: | June 23
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| Settlement date: | June 30
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.85%
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| Cusip: | 22550BBL6
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