Published on 6/22/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $899,000 contingent coupon autocallable reverse convertibles on three stocks
By William Gullotti
Buffalo, N.Y., June 22 – Credit Suisse AG, London Branch priced $899,000 of contingent coupon autocallable reverse convertibles due May 21, 2024 linked to the lowest performing of the American Depositary Shares of Taiwan Semiconductor Manufacturing Co. Ltd., the common stock of Qualcomm Inc. and the common stock of Texas Instruments Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.35% 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 prices on any quarterly call observation date.
If all stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus the final coupon. If any stock finishes below its knock-in price, investors will be fully exposed to the losses of the least-performing stock from its initial level, with the proceeds delivered in shares of the least-performing stock or cash at the issuer’s election.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable reverse convertibles
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Underlying stocks: | Taiwan Semiconductor Manufacturing Co. Ltd., Qualcomm Inc., Texas Instruments Inc.
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Amount: | $899,000
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Maturity: | May 21, 2024
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Coupon: | 8.35% 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 the final coupon if no stock finishes below its knock-in price; if any stock finishes below its knock-in price, par plus the decline of the least-performing stock from its initial level, with proceeds delivered in shares of the least-performing stock or cash at the issuer’s option
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Call: | At par plus the coupon due if all stocks close at or above their initial prices on any quarterly call observation date
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Initial share prices: | $108.75 for Taiwan, $127.11 for Qualcomm, $178.99 for TI
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Coupon barrier prices: | $65.25 for Taiwan, $76.266 for Qualcomm, $107.394 for TI; 60% of initial prices
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Knock-in levels: | $65.25 for Taiwan, $76.266 for Qualcomm, $107.394 for TI; 60% of initial prices
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Pricing date: | May 14
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Settlement date: | May 21
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.5%
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Cusip: | 22550MTM1
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