Published on 8/10/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.73 million autocallable reverse convertibles on two vaccine stocks
By William Gullotti
Buffalo, N.Y., Aug. 10 – Credit Suisse AG, London Branch priced $3.73 million of 28% autocallable reverse convertible securities due Feb. 2, 2022 linked to the least performing of the stocks of Moderna, Inc. and BioNTech SE, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be automatically called at par if the least-performing stock closes at or above its initial price on any monthly observation date after three months.
If the notes are not called, the payout at maturity will be par unless any of the stocks finishes below its 75% knock-in level, in which case investors will receive a number of shares of the least-performing stock equal to $1,000 divided by the 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: | Autocallable reverse convertible securities
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| Underlying stocks: | Moderna, Inc., BioNTech SE
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| Amount: | $3,728,000
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| Maturity: | Feb. 2, 2022
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| Coupon: | 28% per year, or 14% for term of the securities; payable monthly
|
| Price: | Par
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| Payout at maturity: | Par unless any stock finishes below knock-in price, in which case shares of least-performing stock equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
|
| Call: | Automatically at par plus coupon if each stock closes at or above initial share price on any monthly observation date after three months
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| Initial prices: | $349.32 for Moderna, $313.45 for BioNTech
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| Knock-in levels: | $261.99 for Moderna, $235.0875 for BioNTech; 75% of initial levels
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| Strike date: | July 28
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| Pricing date: | July 29
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| Settlement date: | Aug. 2
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
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| Cusip: | 22550MVS5
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