Published on 2/21/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.11 million contingent coupon reverse convertibles on stocks
By Marisa Wong
Los Angeles, Feb. 21 – Credit Suisse AG, London Branch priced $1.11 million of contingent coupon autocallable reverse convertible securities due July 30, 2021 linked to the lowest performing of the common stocks of Electronic Arts Inc., ViacomCBS Inc. and Activision Blizzard, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
If each stock closes at or above its coupon barrier, 60% of initial share price, on a quarterly observation date, then the notes will pay a contingent coupon that quarter plus any previously unpaid coupons at the rate of 10.3% per year.
The notes will be automatically called at par plus the coupon and any previously unpaid coupons if each stock closes at or above its initial share price on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless any stock finishes below its knock-in price, 60% of its initial level, in which case investors will receive a number of shares of the lowest-performing stock equal to $1,000 divided by that stock’s 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
|
| Issue: | Contingent coupon autocallable reverse convertible securities
|
| Underlying stocks: | Electronic Arts Inc. (Symbol: EA), ViacomCBS Inc. (Symbol: VIAC), Activision Blizzard, Inc. (Symbol: ATVI)
|
| Amount: | $1,107,000
|
| Maturity: | July 30, 2021
|
| Coupon: | If each stock closes at or above coupon barrier on quarterly observation date, notes pay contingent coupon that quarter plus any previously unpaid coupons at rate of 10.3% per year
|
| Price: | Par
|
| Payout at maturity: | Par plus coupon and any previously unpaid coupons unless any stock finishes below knock-in price, in which case number of shares of lowest-performing stock equal to $1,000 divided by initial share price or, at issuer’s option, amount in cash equal to value of those shares
|
| Call: | Automatically at par plus coupon and any previously unpaid coupons if each stock closes at or above initial share price on any quarterly observation date
|
| Initial values: | $113.09 for EA, $38.45 for Viacom, $60.32 for Activision
|
| Coupon barriers: | $67.854 for EA, $23.07 for Viacom, $36.192 for Activision; 60% of initial values
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| Knock-in values: | $67.854 for EA, $23.07 for Viacom, $36.192 for Activision; 60% of initial values
|
| Strike date: | Jan. 22
|
| Pricing date: | Feb. 11
|
| Settlement date: | Feb. 19
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22550MAP4
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