Published on 6/8/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $600,000 contingent coupon autocallable reverse converts on two stocks
Chicago, June 8 – Credit Suisse AG, London Branch priced $600,000 of contingent coupon autocallable reverse convertible securities due Nov. 30, 2022 linked to the lowest performing of the stocks of Moderna, Inc. and Penn National Gaming, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 24.5% 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 if all stocks close at or above their initial prices on any quarterly call observation date after six months.
If all stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus any final coupon due. Otherwise, investors will receive a number of shares of the worst performer equal to $10,000 divided by that stock’s initial share price or cash at the issuer’s option.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable reverse convertible securities
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Underlying stocks: | Moderna, Inc. and Penn National Gaming, Inc.
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Amount: | $600,000
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Maturity: | Nov. 30, 2022
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Coupon: | 24.5% per year, payable monthly if each stock closes at or above its coupon barrier price on the related observation date
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Price: | Par of $10,000
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Payout at maturity: | Par plus any final coupon due if no stock finishes below its knock-in price; otherwise, investors will receive number of shares of worst performer equal to that stock’s equity ratio or cash at the issuer’s option
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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: | $273.39 for Moderna, $53.19 for Penn
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Coupon barrier prices: | $164.034 for Moderna, $31.914 for Penn; 60% of initial prices
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Knock-in levels: | $164.034 for Moderna, $31.914 for Penn; 60% of initial prices
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Pricing date: | Nov. 24, 2021
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Settlement date: | Nov. 30, 2021
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1%
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Cusip: | 22550MXY0
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