Published on 12/30/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.24 million autocallable contingent income notes on two stocks
By Wendy Van Sickle
Columbus, Ohio, Dec. 30 – Credit Suisse AG, London Branch priced $3.24 million of autocallable contingent income securities due Dec. 21, 2023 linked to the least performing of the equity shares of Walt Disney Co. and Netflix, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 11.15% if each stock closes at or above its coupon trigger level, 65% of the initial level, on the observation date for that period.
The notes will be called at par plus the coupon if each stock closes at or above its initial share price on any quarterly call observation date.
If the notes are not called and each stock finishes at or above its 65% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the least-performing stock from its initial level.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC as a distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying stocks: | Walt Disney Co. and Netflix, Inc.
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| Amount: | $3,237,000
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| Maturity: | Dec. 21, 2023
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| Coupon: | 11.15% annual rate, payable quarterly if each stock closes at or above coupon trigger level on observation date for that period
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| Price: | Par
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| Payout at maturity: | If each stock finishes at or above barrier level, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing stock from initial level
|
| Call: | At par plus coupon if each stock closes at or above initial price on any quarterly call observation date
|
| Initial levels: | $172.89 for Disney and $534.45 for Netflix
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| Coupon trigger levels: | $112.38 for Disney, $347.39 for Netflix, 65% of initial prices
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| Barrier levels: | $112.38 for Disney, $347.39 for Netflix, 65% of initial prices
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| Pricing date: | Dec. 18
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| Settlement date: | Dec. 23
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as a distributor
|
| Fees: | 2.5%
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| Cusip: | 2251F293
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