Published on 11/22/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.14 million contingent coupon autocallable yield notes on stocks
By Taylor Fox
New York, Nov. 23 – Credit Suisse AG, London Branch priced $2.14 million of contingent coupon autocallable yield notes due Nov. 18, 2022 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The stocks are Apple Inc., Citigroup Inc. and Palo Alto Networks, Inc.
The notes will pay a monthly contingent coupon at an annual rate of 8.68% if each stock closes at or above its coupon barrier, 55% of its initial level, on the observation date for that month.
The notes will be called at par if each stock closes at or above its trigger level on any monthly trigger observation date starting March 11, 2021. The trigger level is 95% of the initial level from March 11, 2021 to May 11, 2021, 90% of the initial level from June 11, 2021 to Nov. 11, 2021 and 85% of the initial level from Dec. 13, 2021 to Oct. 11, 2022.
The payout at maturity will be par unless any stock finishes below its 55% knock-in level, in which case investors will be fully exposed to the losses of the least-performing stock.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying stocks: | Apple Inc., Citigroup Inc. and Palo Alto Networks, Inc.
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| Amount: | $2,138,000
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| Maturity: | Nov. 18, 2022
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| Coupon: | 8.68% per year, payable monthly if each stock 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 stock finishes below its knock-in level, in which case full exposure to the losses of the least-performing stock
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| Call: | Automatically at par if each stock closes at or above trigger level on any monthly trigger observation date starting March 11, 2021; trigger levels starts at 95% from March 11, 2021 to May 11, 2021, 90% of initial level from June 11, 2021 to Nov. 11, 2021 and 85% of initial level from Dec. 13, 2021 to Oct. 11, 2022
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| Initial prices: | $119.49 for Apple, $48.93 for Citigroup and $252.80 for Palo Alto
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| Coupon barriers: | $65.7195 for Apple, $26.9115 for Citigroup and $139.04 for Palo Alto; 55% of initial levels
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| Knock-in levels: | $65.7195 for Apple, $26.9115 for Citigroup and $139.04 for Palo Alto; 55% of initial levels
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| Pricing date: | Nov. 12
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| Settlement date: | Nov. 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.85%
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| Cusip: | 22552WSX4
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