Published on 9/2/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.96 million autocallable reverse converts on three stocks
By Kiku Steinfeld
Chicago, Sept. 2 – Credit Suisse AG, London Branch priced $1.96 million of 8.3% autocallable reverse convertible securities due March 2, 2022 linked to the least performing of the stocks of Applied Materials, Inc., Merck & Co., Inc. and Expedia Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
After three months, the notes will be called at par if the shares of the least performing stock close at or above their call level on any related observation date other than the final one. The call level will be 85% of each stock’s initial level.
If the notes are not called, the payout at maturity will be par unless any of the stocks finishes below its 50% knock-in level, in which case investors will receive a number of shares of the least performing stock equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable reverse convertible securities
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| Underlying stocks: | of Applied Materials, Inc., Merck & Co., Inc. and Expedia Group, Inc.
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| Amount: | $1,958,000
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| Maturity: | March 2, 2022
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| Coupon: | 8.3% per year, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless any stock finishes below knock-in price, in which case shares of least performing stock equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
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| Call: | After three months, at par if shares of least performing stock close at or above call level on any related observation date other than final one
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| Initial prices: | $64.05 for Applied Materials, $96.42 for Expedia, $85.68 for Merck
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| Knock-in levels: | $32.025 for Applied Materials, $48.21 for Expedia, $42.84 for Merck; 50% of initial levels
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| Call levels: | $54.4425 for Applied Materials, $81.957 for Expedia, $72.82 for Merck ;85% of initial level
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| Pricing date: | Aug. 26
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| Settlement date: | Sept. 2
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22550MJL4
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