Published on 5/31/2022 in the Prospect News Structured Products Daily.
New Issue: CS sells $45,000 contingent coupon autocallable reverse convertibles on auto stocks
Chicago, May 31 – Credit Suisse AG, London Branch priced $45,000 of contingent coupon autocallable reverse convertibles due May 17, 2024 linked to the lowest performing of the common stock of Ford Motor Co., General Motors Co. and Tesla, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 15% if each stock closes at or above its coupon barrier price, 60% of its initial price, on the related observation date.
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, 60% of their initial prices, the payout will be par plus the final coupon. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that stock’s initial share price, or cash at the issuer’s option.
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: | Ford Motor Co., General Motors Co. and Tesla, Inc.
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| Amount: | $45,000
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| Maturity: | May 17, 2024
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| Coupon: | 15% per year, payable quarterly 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 the final coupon 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, 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: | $19.86 for Ford, $62.97 for GM, $1,013.39 for Tesla
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| Coupon barrier prices: | $11.916 for Ford, $37.782 for GM, $608.034 for Tesla; 60% of initial prices
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| Knock-in levels: | $11.916 for Ford, $37.782 for GM, $608.034 for Tesla; 60% of initial prices
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| Pricing date: | Nov. 15, 2021
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| Settlement date: | Nov. 17, 2021
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 22550MEA3
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