Published on 5/18/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.5 million market-linked autocalls with contingent coupons on ETFs
By William Gullotti
Buffalo, N.Y., May 18 – Credit Suisse AG priced $2.5 million of market-linked securities – autocallable with contingent coupon and contingent downside due May 16, 2025 linked to the Consumer Staples Select Sector SPDR Fund, the SPDR S&P Regional Banking ETF and the Health Care Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 11.1% if each ETF closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par plus coupon if each ETF closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and each ETF finishes at or above its 70% 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 funds: | SPDR S&P Regional Banking ETF, Health Care Select Sector SPDR Fund, Consumer Staples Select Sector SPDR Fund
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Amount: | $2.5 million
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Maturity: | May 16, 2025
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Coupon: | 11.1% per year, payable monthly if each ETF closes at or above its coupon barrier level on observation date
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Price: | Par
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Payout at maturity: | If each ETF 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 ETF closes at or above initial level on any quarterly observation date after six months
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Initial levels: | $128.60 for Health, $60.57 for Banking, $76.95 for Consumer
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Coupon barriers: | $90.02 for Health, $42.399 for Banking, $53.865 for Consumer; 70% of initial levels
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Downside thresholds: | $90.02 for Health, $42.399 for Banking, $53.865 for Consumer; 70% of initial levels
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Pricing date: | May 13
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Settlement date: | May 18
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Agent: | Wells Fargo Securities LLC
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Fees: | 2.175%
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Cusip: | 22553PX61
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