Published on 1/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.16 million contingent coupon autocallable yield notes on stocks
By Cady Vishniac
Detroit, Jan. 5 – Credit Suisse AG, London Branch priced $2.16 million of contingent coupon autocallable yield notes due Dec. 28, 2026 linked to the lowest performing of the common stock of Amazon.com, Inc., Boeing Co., JPMorgan Chase & Co. and Netflix, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 12.25% if each stock closes at or above its coupon barrier price, 60% of its initial price, on the related observation date.
The notes will be called at par plus the coupon due if all stocks close at or above their initial levels on any quarterly observation date after one year.
If no stocks close for the day below their knock-in prices, 50% of their initial prices, at any time during the life of the notes, the payout at maturity will be par plus any coupon due.
If any stock closes below its knock-in price, but all stocks finish at or above their initial prices, the payout will be par plus the final coupon. If any stock closes for the day below its knock-in price and any stock finishes below its initial price, investors will be fully exposed to the losses of the least-performing stock, but will receive any coupon due.
Incapital LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying stocks: | Amazon.com, Inc. (Symbol: AMZN UW), Boeing Co. (Symbol: BA UN), JPMorgan Chase & Co. (Symbol: JPM UN) and Netflix, Inc. (Symbol: NFLX UW)
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| Amount: $2.16 million
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| Maturity: | Dec. 28, 2026
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| Coupon: | 12.25% per year, payable quarterly if each stock closes at or above its coupon barrier price on the related observation date
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if no stock closes below its knock-in price at any time during the life of the notes; if any stock closes below its knock-in price but all stocks finish at or above their initial prices, par plus the coupon; if any stock closes below its knock-in price and any stock finishes below its initial price, par plus the decline of the least-performing stock, plus any coupon due
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| Call: | At par plus the coupon due if all stocks close at or above their initial levels on any quarterly observation date after one year
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| Initial prices: | $527.33 for Netflix, $3,206.52 for Amazon, $121.67 for JPMorgan and $218.78 for Boeing
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| Coupon barrier prices: | $316.398 for Netflix, $1,923.912 for Amazon, $73.002 for JPMorgan and $131.268 for Boeing; 60% of initial prices
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| Knock-in prices: | $263.665 for Netflix, $1,603.26 for Amazon, $60.835 for JPMorgan and $109.39 for Boeing; 50% of initial prices
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 28
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| Agent: | Incapital LLC
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| Fees: | 4.25%
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| Cusip: | 22552WZ99
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