By Emma Trincal
New York, May 11 – Credit Suisse AG, London Branch priced $1.02 million of contingent coupon autocallable reverse convertibles due May 13, 2024 linked to the lowest performing of the common stocks of Alaska Air Group, Inc. and JetBlue Airways Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 10% if each stock closes at or above its coupon barrier price, 60% of its initial price, on the related observation date. Previously unpaid coupons will also be paid.
The notes will be called at par plus the coupon and previously unpaid coupons, if any, if each stock closes at or above its initial price on any quarterly observation date.
If both stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus the final coupon due.
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 or an amount in cash equal to the value of those shares, at the issuer’s discretion.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable reverse convertibles
|
| Underlying stocks: | Alaska Air Group, Inc. and JetBlue Airways Corp.
|
| Amount: | $1,018,000
|
| Maturity: | May 13, 2024
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| Coupon: | 10% per year, payable quarterly if each stock closes at or above its coupon barrier price on the related observation date; previously unpaid coupons will also be paid
|
| Price: | Par
|
| 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 equivalent
|
| Call: | At par plus the coupon if each stock closes at or above its initial price on any quarterly observation
|
| Initial share prices: | $66.91 for Alaska, $19.32 for JetBlue
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| Coupon barrier prices: | $40.146 for Alaska, $11.592 for JetBlue; 60% of initial prices
|
| Knock-in levels: | $40.146 for Alaska, $11.592 for JetBlue; 60% of initial prices
|
| Pricing date: | May 6
|
| Settlement date: | May 13
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22550MTE9
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