Published on 11/23/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.23 million contingent coupon autocallable reverse convertibles
By William Gullotti
Buffalo, N.Y., Nov. 23 – Credit Suisse AG, London Branch priced $2.23 million of contingent coupon autocallable reverse convertible securities due Nov. 28, 2022 linked to the lowest performing of the stocks of Home Depot, Inc., Target Corp. and Walmart Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.25% if each stock closes at or above its coupon barrier price, 75% 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.
If all stocks finish at or above their knock-in prices, 75% 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.
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: | Home Depot, Inc., Target Corp., Walmart Inc.
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| Amount: | $2,228,000
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| Maturity: | Nov. 28, 2022
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| Coupon: | 8.25% 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 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
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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
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| Initial share prices: | $405.85 for Home Depot, $252.05 for Target, $143.16 for Walmart
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| Coupon barrier prices: | $304.3875 for Home Depot, $189.0375 for Target, $107.37 for Walmart; 75% of initial prices
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| Knock-in levels: | $304.3875 for Home Depot, $189.0375 for Target, $107.37 for Walmart; 75% of initial prices
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| Pricing date: | Nov. 18
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| Settlement date: | Nov. 26
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22550MXA2
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