Published on 1/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.19 million contingent coupon autocallable yield notes on three ETFs
By Sarah Lizee
Olympia, Wash., Jan. 6 – Credit Suisse AG, London Branch priced $1.19 million of contingent coupon autocallable yield notes due June 30, 2023 linked to the least performing of three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The underliers are the VanEck Vectors Gold Miners ETF, the Technology Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production ETF.
Contingent coupons are payable quarterly at an annual rate of 11.65% if each asset closes above its coupon barrier, 60% of its initial level, on the related observation date.
The notes will be called at par if the shares of the least performing asset close at or above its initial price on any quarterly trigger observation date.
The payout at maturity will be par unless any of the assets finishes below its 60% knock-in level, in which case investors will be fully exposed to the losses of the worst performing underlying.
Incapital 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, the Technology Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1,187,000
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| Maturity: | June 30, 2023
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| Coupon: | 11.65% per year, payable quarterly if each asset closes above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below knock-in price, in which case full exposure to losses of worst performing underlying
|
| Call: | At par plus the coupon if all shares close at or above initial share price on any quarterly trigger observation date
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| Initial prices: | $45.95 for bank ETF, $88.14 for biotech ETF, $86.59 for technology fund
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| Coupon barriers: | $32.165 for bank ETF, $61.698 for biotech ETF, $60.613 for technology fund; 60% of initial levels
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| Knock-in levels: | $32.165 for bank ETF, $61.698 for biotech ETF, $60.613 for technology fund; 60% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Dec. 2
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| Agent: | Incapital LLC
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| Fees: | 3.5%
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| Cusip: | 22551NF50
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