Published on 8/28/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallable buffered reverse converts on stocks
By Wendy Van Sickle
Columbus, Ohio, Aug. 28 – Credit Suisse AG, London Branch priced $500,000 of 36% contingent coupon autocallable buffered reverse convertible securities due Dec. 1, 2021 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The stocks are United Airlines Holdings, Inc., Wynn Resorts, Ltd. and Halliburton Co.
Interest is payable quarterly if each stock closes above its coupon barrier, 65% of its initial level, on the related observation date, in which case a coupon will also be paid for any previously unpaid quarter.
The notes will be called at par if the shares of the least performing stock close at or above their initial price on any quarterly trigger observation date.
The payout at maturity will be par unless any of the stocks finishes below its 80% buffer level, in which case investors will lose 1.25% for each 1% decline in the least performing stock beyond 20%, paid in shares of the least-performing stock.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable buffered reverse convertible securities
|
| Underlying stocks: | United Airlines Holdings, Inc., Wynn Resorts, Ltd. and Halliburton Co.
|
| Amount: | $500,000
|
| Maturity: | Dec. 1, 2021
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| Coupon: | 36% per year, payable quarterly if each stock closes above coupon barrier on observation date, in which case a coupon will also be paid for any previously unpaid quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any stock finishes below buffer price, in which case 1.25% loss for each 1% decline in least performing stock beyond 20%, paid in shares of least performing stock
|
| Call: | At par plus the coupon if shares close at or above initial share price on any quarterly trigger observation date
|
| Initial prices: | $36.32 for United, $86.79 for Wynn, $16.29 for Halliburton
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| Coupon barriers: | $23.608 for United, $56.4135 for Wynn, $10.5885 for Halliburton; 65% of initial levels
|
| Buffer levels: | $29.056 for United, $69.432 for Wynn, $13.032 for Halliburton; 80% of initial levels
|
| Pricing date: | Aug. 25
|
| Settlement date: | Sept. 1
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22550MJH3
|
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