Published on 9/7/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5 million contingent coupon autocallable reverse convertibles
By William Gullotti
Buffalo, N.Y., Sept. 7 – Credit Suisse AG, London Branch priced $5 million of contingent coupon autocallable reverse convertible securities due June 30, 2026 linked to the lowest performing of the stocks of Citigroup Inc., Goldman Sachs Group, Inc., Morgan Stanley and Wells Fargo & Co., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 7.75% if each stock closes at or above its coupon barrier price, 70% 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 after six months.
If all stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus any final coupon due. 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: | Citigroup Inc., Goldman Sachs Group, Inc., Morgan Stanley, Wells Fargo & Co.
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| Amount: | $5 million
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| Maturity: | June 30, 2026
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| Coupon: | 7.75% 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 any final coupon due if no stock finishes below its knock-in price; otherwise, investors will receive number of shares of worst performer equal to that stock’s equity ratio
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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 after six months
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| Initial share prices: | $71.51 for Citi, $368.71 for Goldman Sachs, $87.70 for Morgan Stanley, $45.79 for Wells Fargo
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| Coupon barrier prices: | $50.057 for Citi, $258.097 for Goldman Sachs, $61.39 for Morgan Stanley, $32.053 for Wells Fargo; 70% of initial prices
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| Knock-in levels: | $42.906 for Citi, $221.226 for Goldman Sachs, $52.62 for Morgan Stanley, $27.474 for Wells Fargo; 60% of initial prices
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| Pricing date: | June 28
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| Settlement date: | June 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 22550MUD9
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