Published on 9/9/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $617,000 contingent coupon autocallable reverse converts on stocks
By Sarah Lizee
Olympia, Wash., Sept. 9 – Credit Suisse AG, London Branch priced $617,000 of 9.25% contingent coupon autocallable reverse convertible securities due Sept. 11, 2023 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The stocks are Walt Disney Co., JPMorgan Chase & Co. and McDonald’s Corp.
Interest is payable quarterly if each stock closes above its coupon barrier, 60% of its initial level, on the related observation date, in which case a coupon will also be paid for any previously unpaid quarter.
The notes will be called at par if the shares of the least performing stock close at or above their initial price on any quarterly trigger observation date.
The payout at maturity will be par unless any of the stocks finishes below its 60% 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
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| Issue: | Contingent coupon autocallable reverse convertible securities
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| Underlying stocks: | Walt Disney Co., JPMorgan Chase & Co. and McDonald’s Corp.
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| Amount: | $617,000
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| Maturity: | Sept. 11, 2023
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| Coupon: | 9.25% per year, payable quarterly if each stock closes above coupon barrier on observation date, in which case a coupon will also be paid for any previously unpaid quarter
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| 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
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| Call: | At par plus the coupon if shares close at or above initial share price on any quarterly trigger observation date
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| Initial prices: | $135.39 for Disney, $101.65 for JPMorgan, $216.23 for McDonald’s
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| Coupon barriers: | $81.234 for Disney, $60.99 for JPMorgan, $129.738 for McDonald’s; 60% of initial levels
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| Knock-in levels: | $81.234 for Disney, $60.99 for JPMorgan, $129.738 for McDonald’s; 60% of initial levels
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| Pricing date: | Sept. 3
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| Settlement date: | Sept. 11
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22552WJA4
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