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Published on 8/5/2020 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $4.6 million autocallable reverse convertibles on four stocks

By Sarah Lizee

Olympia, Wash., Aug. 5 – Credit Suisse AG, London Branch priced $4.6 million of 9% autocallable reverse convertible securities due July 29, 2022 linked to least performing of four stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The stocks are Apple Inc., Alphabet Inc., Intel Corp. and Nvidia Corp.

Credit Suisse will pay the coupon monthly.

The notes will be called at par if the shares of the least performing stock close at or above their initial price on a monthly observation date starting on Jan. 26, 2021.

The payout at maturity will be par unless any of the stocks finishes below its 55% 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
Issue:Autocallable reverse convertible securities
Underlying stocks:Apple Inc., Alphabet Inc., Intel Corp. and Nvidia Corp.
Amount:$4.6 million
Maturity:July 29, 2022
Coupon:9%, payable monthly
Price:Par
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
Call:At par plus the coupon if shares close at or above initial share price on a monthly observation date starting on Jan. 26, 2021
Initial share prices:$373.01 for Apple, $1,503.65 for Alphabet, $49.24 for Intel, $408.62 for Nvidia
Knock-in prices:$205.1555 for Apple, $827.0075 for Alphabet, $27.082 for Intel, $224.741 for Nvidia; or 55% of initial share prices
Pricing date:July 28
Settlement date:July 31
Agent:Credit Suisse Securities (USA) LLC
Fees:3.15%
Cusip:22550MGU7

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