Published on 7/6/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.27 million contingent coupon autocallable reverse convertibles on Microsoft, Charles Schwab
By Wendy Van Sickle
Columbus, Ohio, July 6 – Credit Suisse AG, London Branch priced $4.27 million of contingent coupon autocallable reverse convertibles due May 28, 2024 linked to the lowest performing of the shares of Microsoft Corp. and Charles Schwab Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8% if each stock closes at or above its coupon barrier price, 72% of its initial price, on the related observation date, plus any previously unpaid coupon.
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, 72% 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: | Microsoft Corp., Charles Schwab Corp.
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Amount: | $4,268,000
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Maturity: | May 28, 2024
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Coupon: | 8% per year, payable quarterly if each stock closes at or above its coupon barrier price on the related observation date, plus any previously unpaid coupon
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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: | $251.72f or Microsoft, $71.63 for Charles Schwab
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Coupon barrier prices: | $181.2384 for Microsoft, $51.5736 for Charles Schwab; 72% of initial prices
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Knock-in levels: | $181.2384 for Microsoft, $51.5736 for Charles Schwab; 72% of initial prices
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Pricing date: | May 25
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Settlement date: | May 28
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3%
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Cusip: | 22550MTF6
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