Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse $1.17 million contingent coupon autocallable yield notes on ETFs, index
By Sarah Lizee
Olympia, Wash., March 13 – Credit Suisse AG, London Branch priced $1.17 million of contingent coupon autocallable yield notes due March 9, 2023 tied to the lowest performing of the VanEck Vectors Gold Miners ETF, SPDR S&P Oil & Gas Exploration & Production ETF and Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 14% if each asset closes at or above its barrier level, 65% of its initial level, on a related observation date.
The notes will be called at par plus the coupon if each asset closes at or above its initial level on any quarterly observation date starting March 4, 2021.
The payout at maturity will be par unless any asset finishes below its 65% knock-in level, in which case the payout will be par plus the return of the least performing asset with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying assets: | VanEck Vectors Gold Miners ETF, SPDR S&P Oil & Gas Exploration & Production ETF and Nasdaq-100 index
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Amount: | $1,173,000
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Maturity: | March 9, 2023
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Coupon: | 14% per year, payable quarterly if each asset closes at or above its coupon barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless any asset finishes below its knock-in level, in which case the payout will be par plus the return of the least performing asset with full exposure to losses
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Call: | At par plus coupon if each asset closes at or above its initial level on any quarterly call date starting March 4, 2021
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Initial levels: | $29.13 for gold ETF, $14.90 for oil ETF, 8,949.280 for index
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Coupon barriers: | $18.9345 for gold ETF, $9.685 for oil ETF, 5,817.032 for index, 65% of initial levels
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Knock-in levels: | $18.9345 for gold ETF, $9.685 for oil ETF, 5,817.032 for index, 65% of initial levels
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Pricing date: | March 4
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Settlement date: | March 9
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3%
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Cusip: | 22551NTB2
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