Published on 6/1/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.41 million contingent market-linked autocalls on three indexes
By William Gullotti
Buffalo, N.Y., June 1 – Credit Suisse AG priced $3.41 million of market-linked securities – autocallable with contingent coupon and contingent downside due May 29, 2026 linked to the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.45% if each index closes at or above its coupon barrier, 75% of its initial level, on the observation date for that period.
The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and each index finishes at or above its 75% downside threshold, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Wells Fargo Securities LLC is the agent.
| Issuer: | Credit Suisse AG
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Dow Jones industrial average
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| Amount: | $3,413,000
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| Maturity: | May 29, 2026
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| Coupon: | 9.45% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above its downside threshold, par plus final coupon; otherwise, full exposure to decline of worst performer from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly observation date after six months
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| Initial levels: | 1,764.826 for Russell, 3,941.48 for S&P, 31,928.62 for Dow
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| Coupon barriers: | 1,323.6195 for Russell, 2,956.11 for S&P, 23,946.465 for Dow; 75% of initial levels
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| Downside thresholds: | 1,323.6195 for Russell, 2,956.11 for S&P, 23,946.465 for Dow; 75% of initial levels
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| Pricing date: | May 24
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| Settlement date: | May 27
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 2.175%
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| Cusip: | 22553PYD5
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