Published on 10/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.09 million of market-linked autocalls on three indexes
By William Gullotti
Buffalo, N.Y., Oct. 5 – Credit Suisse AG priced $2.09 million of market-linked securities – autocallable with contingent coupon and contingent downside due Sept. 29, 2025 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx Banks 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 12.35% if each index closes at or above the 75% threshold on the corresponding observation date.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date after six months.
The payout at maturity will be par plus the final coupon unless any index finishes below the 75% threshold, in which case 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, Euro Stoxx Banks
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Amount: | $2,086,000
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Maturity: | Sept. 29, 2025
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Coupon: | 12.35% annual rate, payable quarterly if each index closes at or above the 75% threshold on the relevant observation date
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Price: | Par
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Payout at maturity: | Par plus final coupon unless any index falls below the 75% threshold, in which case investors will be fully exposed to any decline of the worst performing index
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Call: | Automatically called at par plus coupon if all indexes finish above starting levels on any quarterly observation date after six months
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Initial levels: | 4,359.46 for S&P, 2,225.308 for Russell, 100.28 for Stoxx
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Threshold levels: | 3,269.595 for S&P, 1,668.981 for Russell, 75.21 for Stoxx; 75% of initial levels
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Pricing date: | Sept. 29
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Settlement date: | Oct. 4
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Underwriter: | Wells Fargo Securities LLC
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Fees: | 2.175%
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Cusip: | 22552XUH4
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