Published on 12/30/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $11.91 million contingent coupon autocallables on ETFs
By Devika Patel
Knoxville, Tenn., Dec. 30 – Credit Suisse AG, London Branch, priced $11.91 million of contingent coupon autocallable yield notes due Dec. 23, 2021 linked to the worst performing of the SPDR S&P Bank exchange-traded fund, the SPDR S&P Biotech exchange-traded fund and the Technology Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 14% if each ETF closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par plus the coupon if all ETFs close at or above their respective initial levels on any quarterly observation date from March 20, 2020 to Sept. 20, 2021.
The payout at maturity will be par unless any ETF finishes below its 70% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing ETF.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying ETFs: | SPDR S&P Bank, SPDR S&P Biotech, Technology Select Sector SPDR Fund
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| Amount: | $11,912,000
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| Maturity: | Dec. 23, 2021
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| Coupon: | 14% per year paid quarterly if all ETFs close at or above coupon barrier levels on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless any ETF finishes below its 70% knock-in level, in which case 1% loss for each 1% decline of the worst performing ETF
|
| Call option: | At par plus coupon if each ETF closes at or above its initial level on any observation date from March 20, 2020 to Sept. 20, 2021
|
| Initial index levels: | $47.51 for Bank, $96.70 for Biotech, $90.95 for Technology
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| Coupon/knock-in levels: | $33.257 for Bank, $67.69 for Biotech, $63.665 for Technology; 70% of initial levels
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22551NEQ5
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