Published on 2/10/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.11 million contingent coupon buffered autocalls on ETFs
By Sarah Lizee
Olympia, Wash., Feb. 10 – Credit Suisse AG, London Branch priced $2.11 million of contingent coupon buffered autocallable yield notes due Jan. 31, 2025 linked to the least performing of the SPDR S&P Biotech ETF and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annualized rate of 8.5% if each asset closes at or above its 80% coupon barrier on the related monthly observation date.
The notes will be called at par if each asset closes at or above 95% of its initial level on any monthly call observation date after one year.
The payout at maturity will be par unless either asset falls by more than 20%, in which case investors will lose 1% for each 1% decline of the worse performing asset beyond the 20% buffer.
Incapital LLC is the placement agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon buffered autocallable yield notes
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Underlying assets: | SPDR S&P Biotech ETF and Energy Select Sector SPDR fund
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Amount: | $2,111,000
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Maturity: | Jan. 31, 2025
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Coupon: | 8.5% annualized, payable monthly if each asset closes at or above its coupon barrier on related monthly observation date
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Price: | Par
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Payout at maturity: | Par unless either asset falls by more than buffer level, in which case 1% loss for each 1% decline of worse performing asset beyond buffer
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Call: | At par if each asset closes at or above call level on any monthly call observation date after one year
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Initial levels: | $91.78 for biotech, $55.30 for energy
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Call barrier: | $87.191 for biotech, $52.535 for energy
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Coupon barriers: | $73.424 for biotech, $44.24 for energy; 80% of initial levels
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Buffer levels: | $73.424 for biotech, $44.24 for energy; 80% of initial levels
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Agent: | Incapital LLC
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Fees: | 3.75%
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Cusip: | 22551NHN9
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