Published on 8/2/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $790,000 contingent coupon reverse convert autocalls on stocks
By Kiku Steinfeld
Chicago, Aug. 2 – Credit Suisse AG, London Branch priced $790,000 of contingent coupon autocallable reverse convertibles due Jan. 13, 2025 linked to the lowest performing of the shares of Toll Brothers, Inc., KB Home and M.D.C. Holdings, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon plus any previously unpaid contingent coupons at an annualized rate of 10.4% 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: | Toll Brothers, Inc., KB Home and M.D.C. Holdings, Inc.
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| Amount: | $790,000
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| Maturity: | Jan. 13, 2025
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| Coupon: | 10.4% per year, payable quarterly plus any previously unpaid contingent coupons 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: | $68.57 for Toll, $41.88 for KB, $53.28 for M.C.D.
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| Coupon barrier prices: | $41.142 for Toll, $25.128 for KB, $31.968 for M.C.D.; 60% of initial prices
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| Knock-in levels: | $41.142 for Toll, $25.128 for KB, $31.968 for M.C.D.; 60% of initial prices
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| Pricing date: | Jan. 7, 2022
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| Settlement date: | Jan. 13, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22550MA58
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