Published on 8/3/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $880,000 contingent coupon autocallable reverse convertibles on stocks
By William Gullotti
Buffalo, N.Y., Aug. 3 – Credit Suisse AG, London Branch priced $880,000 of contingent coupon autocallable reverse convertibles due June 10, 2024 linked to the lowest performing of the stocks of Amazon.com, Inc. and ViacomCBS Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 10.15% 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 after six months.
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.
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: | Amazon.com, Inc., ViacomCBS Inc.
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| Amount: | $880,000
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| Maturity: | June 10, 2024
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| Coupon: | 10.15% 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
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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 after six months
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| Initial share prices: | $3,233.99 for Amazon, $42.58 for ViacomCBS
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| Coupon barrier prices: | $1,940.394 for Amazon, $25.548 for ViacomCBS; 60% of initial prices
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| Knock-in levels: | $1,940.394 for Amazon, $25.548 for ViacomCBS; 60% of initial prices
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| Strike date: | June 2
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| Pricing date: | June 3
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| Settlement date: | June 10
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.7%
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| Cusip: | 22550MTU3
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