Published on 6/7/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.17 million of market-linked autocalls on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., June 7 – Credit Suisse AG priced $1.17 million of market-linked securities – autocallable with contingent coupon and contingent downside due May 30, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, 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% 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 monthly 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, Nasdaq-100 index
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| Amount: | $1,169,000
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| Maturity: | May 30, 2023
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| Coupon: | 11% annual rate, payable monthly 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 monthly observation date after six months
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| Initial levels: | 4,132.15 for S&P, 1,864.043 for Russell, 12,642.1 for Nasdaq
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| Threshold levels: | 3,099.1125 for S&P, 1,398.03225 for Russell, 9,481.575 for Nasdaq; 75% of initial levels
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| Pricing date: | May 31
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| Settlement date: | June 3
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| Underwriter: | Wells Fargo Securities LLC
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| Fees: | 1.475%
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| Cusip: | 22553PUK3
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