Published on 11/8/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.37 million contingent coupon autocallable reverse convertibles
By William Gullotti
Buffalo, N.Y., Nov. 8 – Credit Suisse AG, London Branch priced $4.37 million of contingent coupon autocallable reverse convertible securities due Nov. 5, 2024 linked to the lowest performing of the stocks of Apple Inc., Tesla, Inc. and Zillow Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 20% if each stock closes at or above its coupon barrier price, 67% 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.
If all stocks finish at or above their knock-in prices, 67% of their initial prices, the payout will be par plus the final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price.
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: | Apple Inc., Tesla, Inc., Zillow Group, Inc.
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| Amount: | $4,373,000
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| Maturity: | Nov. 5, 2024
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| Coupon: | 20% 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
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| Payout at maturity: | Par plus final coupon if no stock finishes below its knock-in price; otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price
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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
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| Initial share prices: | $148.96 for Apple, $1,208.59 for Tesla, $97.15 for Zillow
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| Coupon barrier prices: | $99.8032 for Apple, $809.7553 for Tesla, $65.0905 for Zillow; 67% of initial prices
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| Knock-in levels: | $99.8032 for Apple, $809.7553 for Tesla, $65.0905 for Zillow; 67% of initial prices
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| Pricing date: | Nov. 1
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| Settlement date: | Nov. 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 22550MDS5
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