Published on 1/23/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse $14.53 million contingent coupon autocallable yield notes on three funds
By Wendy Van Sickle
Columbus, Ohio, Jan. 23 – Credit Suisse AG, London Branch priced $14.53 million of contingent coupon autocallable yield notes due Jan. 21, 2022 linked to the lowest performing of the Health Care Select Sector SPDR fund, SPDR S&P Retail ETF and VanEck Vectors Semiconductor ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 11.8% if each ETF closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par plus the coupon if each ETF closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any ETF finishes below its 70% knock-in level, in which case the payout will be par plus the return of the least performing ETF 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 ETFs: | Health Care Select Sector SPDR fund, SPDR S&P Retail ETF and VanEck Vectors Semiconductor ETF
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Amount: | $14,527,000
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Maturity: | Jan. 21, 2022
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Coupon: | 11.8% per year, payable quarterly if each ETF 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 ETF finishes below its knock-in level, in which case the payout will be par plus the return of the least performing ETF with full exposure to losses
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Call: | At par plus coupon if each ETF closes at or above its initial level on any quarterly call date
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Initial levels: | $104.49 for health care, $45.88 for retail, $146.06 for semiconductor
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Coupon barriers: | $73.143 for health care, $32.116 for retail, $102.242 for semiconductor, 70% of initial levels
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Knock-in levels: | $73.143 for health care, $32.116 for retail, $102.242 for semiconductor, 70% of initial levels
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Pricing date: | Jan. 17
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Settlement date: | Jan. 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.75%
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Cusip: | 22551NJQ0
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