Published on 8/4/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.1 million of contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 4 – Credit Suisse AG priced $2.1 million of market-linked securities – autocallable with contingent coupon and contingent downside due July 29, 2026 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 10% if each index closes at or above the 70% 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 70% 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 50
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| Amount: | $2,095,000
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| Maturity: | July 29, 2026
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| Coupon: | 10% annual rate, payable quarterly if each index closes at or above the 70% 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 70% 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: | 4,130.29 for S&P, 1,885.23 for Russell, 3,708.1 for Stoxx
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| Threshold levels: | 2,891.203 for S&P, 1,319.661 for Russell, 2,595.67 for Stoxx; 70% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Underwriter: | Wells Fargo Securities LLC
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| Fees: | 2.175%
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| Cusip: | 22553QAQ0
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