Published on 8/26/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $550,000 autocallable reverse convertible digital securities on stocks
By Sarah Lizee
Olympia, Wash., Aug. 26 – Credit Suisse AG, London Branch priced $550,000 of 0% autocallable reverse convertible digital securities due Aug. 28, 2023 tied to the least performing of the stocks of Apple Inc., Intel Corp. and Amazon.com, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a 16% annual premium if each stock closes at or above its trigger level on a related quarterly observation date. The trigger level for each index will be equal to its initial level for the first call date, stepping down by 3.63% each quarter.
If the notes are not called and each stock finishes at or above 60% of its initial level, the payout will be par plus 48%.
Otherwise, 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, the cash equivalent.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable reverse convertible digital securities
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| Underlying stocks: | Apple Inc., Intel Corp. and Amazon.com, Inc.
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| Amount: | $550,000
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| Maturity: | Aug. 28, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the notes are not called and each stock finishes at or above 60% of its initial level, par plus 48%; otherwise, 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, the cash equivalent
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| Call: | At par plus a 16% annual premium if each stock closes at or above its trigger level on a related quarterly observation date; trigger level for each index will be equal to its initial level for the first call date, stepping down by 3.63% each quarter
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| Initial prices: | $473.10 for Apple, $49.17 for Intel, $3,297.37 for Amazon
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| Knock-in levels: | $283.86 for Apple, $29.502 for Intel, $1,978.422 for Amazon; 60% of initial levels
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| Pricing date: | Aug. 24
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| Settlement date: | Aug. 27
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.85%
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| Cusip: | 22550MJE0
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