Published on 9/28/2021 in the Prospect News Structured Products Daily.
New Issue: CS sells $1.14 million contingent coupon autocallable notes with upper threshold on stocks
By Kiku Steinfeld
Chicago, Sept. 28 – Credit Suisse AG, London Branch priced $1.14 million of contingent coupon autocallable yield notes with upper threshold feature due Sept. 20, 2024 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The stocks are Intellia Therapeutics, Inc., Laredo Petroleum, Inc. and Novavax, Inc.
The notes will pay a quarterly contingent coupon at an annual rate of 8.5% if each stock closes at or above its coupon barrier, 50% of its initial level, on the observation date for that quarter, in which case all prior unpaid contingent coupons will be paid
The notes will be called at par if each stock closes at or above 70% of its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless every stock finishes below its upper threshold, 80% of its initial level, and any stock finishes below its 50% 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 with upper threshold feature
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| Underlying stocks: | Intellia Therapeutics, Inc., Laredo Petroleum, Inc. and Novavax, Inc.
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| Amount: | $1.14 million
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| Maturity: | Sept. 20, 2024
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| Coupon: | 8.5% per year, payable quarterly if each stock closes at or above its coupon barrier level on observation date, in which case all prior unpaid contingent coupons will be paid
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| Price: | Par
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| Payout at maturity: | Par unless every stock finishes below its upper threshold level and 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 quarterly trigger observation date
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| Initial prices: | $150.44 for Intellia, $70.28 for Laredo, $232.30 for Novavax
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| Upper threshold levels: | $120.352 for Intellia, $56.224 for Laredo, $185.84 for Novavax; 80% of initial levels
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| Trigger levels: | $105.308 for Intellia, $49.196 for Laredo, $162.61 for Novavax; 70% of initial levels
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| Coupon barriers: | $75.22 for Intellia, $35.14 for Laredo, $116.15 for Novavax; 50% of initial levels
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| Knock-in levels: | $75.22 for Intellia, $35.14 for Laredo, $116.15 for Novavax; 50% of initial levels
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 20
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22552XVS9
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