Published on 3/2/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $505,000 autocallable reverse converts on stocks
By Wendy Van Sickle
Columbus, Ohio, March 2 – Credit Suisse AG, London Branch priced $505,000 of 20% autocallable reverse convertible securities due Feb. 22, 2022 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The stocks are Spirit Airlines, Inc., Airbnb, Inc. and Carnival Corp.
Interest is payable monthly.
The notes will be called at par if the shares of the least performing stock close at or above their initial price on any monthly trigger observation date after three months.
The payout at maturity will be par unless any of the stocks finishes below its 55% knock-in level, in which case investors will receive a number of shares of the least performing stock equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable reverse convertible securities
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| Underlying stocks: | Spirit Airlines, Inc., Airbnb, Inc. and Carnival Corp.
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| Amount: | $505,000
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| Maturity: | Feb. 22, 2022
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| Coupon: | 20% per year, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless any stock finishes below knock-in price, in which case shares of least performing stock equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
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| Call: | At par if shares close at or above initial share price on any monthly trigger observation date after three months
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| Initial prices: | $34.12 for Spirit Airlines, $198.04 for Airbnb, $22.89 for Carnival
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| Knock-in levels: | $18.766 for Spirit Airlines, $108.922 for Airbnb, $12.5895 for Carnival; 55% of initial levels
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| Pricing date: | Feb. 18
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| Settlement date: | Feb. 22
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.875%
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| Cusip: | 22550MRB7
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