Published on 11/10/2021 in the Prospect News Structured Products Daily.
New Issue: CS sells $3.91 million contingent coupon reverse convertible upper threshold autocalls
By William Gullotti
Buffalo, N.Y., Nov. 10 – Credit Suisse AG, London Branch priced $3.91 million of contingent coupon autocallable reverse convertible securities with upper threshold feature due Nov. 8, 2024 linked to the lowest performing of the stocks of American Airlines Group Inc., Apple Inc., Duke Energy Corp. and Moderna, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 10% if each stock closes at or above its coupon barrier price, 80% of its initial price, on the related observation date.
The notes will be called at par plus the coupon if all stocks close at or above their initial prices on any quarterly call observation date after six months.
The payout at maturity will be par unless every stock finishes below its upper threshold, 100% of its initial level, and any stock finishes below its 60% knock-in level, in which case investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable reverse convertible securities with upper threshold feature
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| Underlying stocks: | American Airlines Group Inc., Apple Inc., Duke Energy Corp., Moderna, Inc.
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| Amount: | $3,909,000
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| Maturity: | Nov. 8, 2024
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| Coupon: | 10% per year, payable monthly if each stock closes at or above its coupon barrier price on the related observation date
|
| 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 investors will receive number of shares of worst performer equal to that stock’s equity ratio
|
| Call: | At par plus coupon if all stocks close at or above their initial prices on any quarterly call observation date after six months
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| Initial share prices: | $20.63 for American, $150.96 for Apple, $101.02 for Duke, $284.02 for Moderna
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| Upper threshold levels: | $20.63 for American, $150.96 for Apple, $101.02 for Duke, $284.02 for Moderna; 100% of initial prices
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| Coupon barrier prices: | $16.504 for American, $120.768 for Apple, $80.816 for Duke, $227.216 for Moderna; 80% of initial prices
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| Knock-in levels: | $12.378 for American, $90.576 for Apple, $60.612 for Duke, $170.412 for Moderna; 60% of initial prices
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| Strike date: | Nov. 4
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| Pricing date: | Nov. 5
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| Settlement date: | Nov. 10
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.25%
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| Cusip: | 22550MXD6
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