Published on 9/18/2023 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $595,000 contingent coupon autocallable notes on three indexes
Chicago, Sept. 18 – Credit Suisse AG, London Branch, priced $595,000 of market-linked securities that are autocallable with contingent coupon and contingent downside due Aug. 27, 2026 linked to the lowest 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 pay a contingent quarterly coupon at the rate of 9% per year if each index closes at or above its coupon barrier level, 65% of its initial level, on the related observation date.
The notes will be automatically called at par if each index closes above its initial level on any quarterly calculation date starting after six months.
The payout at maturity will be par plus the final coupon if each index finishes at or above its coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 60% knock-in level, the payout at maturity will be par. Otherwise, investors will be exposed to the decline of the least-performing index from its initial level.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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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 index
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| Amount: | $595,000
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| Maturity: | Aug. 27, 2026
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| Coupon: | 9% per year, payable quarterly if each underlying index closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier level but not below knock-in level, par; otherwise, full exposure to losses of worst performer
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| Call: | Autocallable at par on any quarterly calculation date starting after six months if each index closes above its initial level
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| Initial levels: | 3517.25 for Stoxx, 3955 for S&P, 1844.115 for Russell
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| Coupon barrier levels: | 2286.2125 for Stoxx, 2570.75 for S&P, 1198.67475 for Russell, 65% of initial levels
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| Knock-in levels: | 2110.35 for Stoxx, 2373 for S&P, 1106.469 for Russell; 60% of initial levels
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| Pricing date: | Aug. 31, 2022
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| Settlement date: | Sept. 6, 2022
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| Agents: | Wells Fargo Securities, LLC
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| Fees: | 2.175%
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| Cusip: | 22553QEV5
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