$9,862,000 Contingent Coupon Autocallable Reverse Convertible Securities Linked to the Performance of the Class C Capital Stock of Zillow Group, Inc. due November 14, 2022, priced on August 10, 2021, were issued by Credit Suisse AG. The pricing supplement for this note (CUSIP: 22550MVT3) can be found here. The notes had a $1,000 face value and paid a monthly coupon of $10.58333, so long as the notes had not been called and and Zillow all closed above 56% of their August 10, 2021 closing prices on a determination date. If and Zillow closed below 56% of their August 10, 2021 closing prices on a determination date, the notes did not pay a coupon. If not previously called, at maturity, the notes returned $1,000 in principal if and Zillow all closed on the final determination date on November 09, 2022 and above 56% of their August 10, 2021 closing prices. If on November 09, 2022 and Zillow closed below 56% of their August 10, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of and Zillow November 09, 2022 closing prices to their August 10, 2021 closing prices. The notes have matured. They paid five coupons totaling $52.91667 and $321.98 repayment per $1,000 note. Investors thus suffered capital losses of $678.02 and net losses of $625.10.† In the aggregate, investors in this note suffered $6,686,638 in capital losses and $6,164,773 in net losses. See Table 1 and Figure 1.
Established in 2000, SLCG Economic Consulting ("SLCG") specializes in providing finance, economics, and investment management consulting, as well as expert witness services to law firms, banks, brokerage firms, and individuals involved in complex litigation. Our team comprises predominantly PhD and MA-level professionals with diverse backgrounds in academia, industry, and government, many of whom have testified in state and federal courts as well as various arbitration forums. SLCG is a wholly owned subsidiary of McCann Yan Holdings, Inc., a Virginia incorporated company based in Northern Virginia.