Published on 12/7/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $380,000 12.05% contingent autocall reverse converts on three stocks
By Susanna Moon
Chicago, Dec. 7 – Credit Suisse AG, London Branch priced $380,000 of contingent coupon autocallable reverse convertible notes due Nov. 23, 2021 linked to the worst performing of the common stocks of Citigroup Inc., Constellation Brands, Inc. and Toll Brothers, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12.05% if each underlying stock closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes will be called at par if each stock closes at or above its initial level on any quarterly review date beginning Dec. 20, 2018.
The payout at maturity will be par unless any underlying stock finishes below its 65% knock-in level, in which case investors will receive a number of shares of the worst performing stock equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable reverse convertible notes
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| Underlying stocks: | Citigroup Inc. (Symbol: C), Constellation Brands, Inc. (Symbol: STZ) and Toll Brothers, Inc. (Symbol: TOL)
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| Amount: | $380,000
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| Maturity: | Nov. 23, 2021
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| Contingent coupon: | 12.05%, payable quarterly if each underlying stock closes at or above its 70% coupon barrier on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any stock closes at or below barrier, in which case a number of shares of worst performing stock equal to $1,000 divided by the initial share price
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| Call: | At par plus the coupon if each stock closes at or above initial share price on any quarterly observation date
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| Initial levels: | $63.50 for Citigroup, $197.31 for Constellation and $31.83 for Toll Brothers
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| Barrier levels: | $38.10 for Citigroup, $118.386 for Constellation and $19.098 for Toll Brothers, 60% of initial levels
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| Strike date: | Nov. 14
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| Pricing date: | Nov. 15
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| Settlement date: | Nov. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22549JZH6
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