Published on 9/21/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.95 million autocallable reverse converts on three stocks
By Kiku Steinfeld
Chicago, Sept. 21 – Credit Suisse AG, London Branch priced $2.95 million of 8.2% autocallable reverse convertible securities due Sept. 16, 2022 linked to the least performing of the stocks of Palo Alto Networks, Inc., Activision Blizzard, Inc. and Caterpillar Inc., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if the shares of the least performing stock close at or above their call level on any monthly trigger observation date after three months other than the final one. The call level will be 95% of each stock’s initial level on Dec. 9 2020, stepping down to 95% on June 9, 2021 and to 85% on Dec. 9, 2021.
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: | Palo Alto Networks, Inc., Activision Blizzard, Inc. and Caterpillar Inc.
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| Amount: | $2,949,000
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| Maturity: | Sept. 16, 2022
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| Coupon: | 8.2% 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: | At par plus coupon if all three stocks close above 95% of their initial levels starting on Dec. 9, above 90% of their initial levels starting on June 9, 2021 and above 85% of their initial levels starting on Dec. 9, 2021
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| Initial prices: | $233.93 for Palo Alto, $76.18 for Activision Blizzard, $148.52 for Caterpillar
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| Knock-in levels: | $116.965 for Palo Alto, $38.09 for Activision Blizzard, $74.26 for Caterpillar; 50% of initial levels
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| Pricing date: | Sept. 9
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| Settlement date: | Sept. 16
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.8%
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| Cusip: | 22550MJX8
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