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Published on 2/28/2022 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $1.3 million contingent coupon autocallables on three stocks

By William Gullotti

Buffalo, N.Y., Feb. 28 – Credit Suisse AG, London Branch priced $1.3 million of contingent coupon autocallable reverse convertible securities due Oct. 31, 2022 linked to the lowest performing of the common stocks of Airbnb, Inc., Marriott International, Inc. and Tripadvisor, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 16% if each stock closes at or above its coupon barrier price, 60% of its initial price, on the related observation date.

The notes will be called at par plus the coupon due if all stocks close at or above their initial prices on any quarterly call observation date.

If all stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus the final coupon. If any stock finishes below its knock-in price, investors will be fully exposed to the losses of the least-performing stock from its initial level, with the proceeds delivered in shares of the least-performing stock or cash at the issuer’s option.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable reverse convertible securities
Underlying stocks:Airbnb, Inc., Marriott International, Inc., Tripadvisor, Inc.
Amount:$1,301,000
Maturity:Oct. 31, 2022
Coupon:16% per year, payable quarterly if each stock closes at or above its coupon barrier price on the related observation date
Price:Par
Payout at maturity:Par plus the final coupon if no stock finishes below its knock-in price; if any stock finishes below its knock-in price, par plus the decline of the least-performing stock from its initial level, with proceeds delivered in shares of the least-performing stock or cash at the issuer’s option
Call:At par plus the coupon due if all stocks close at or above their initial prices on any quarterly call observation
Initial share prices:$174.25 for Airbnb, $148.36 for Marriott, $50.99 for Tripadvisor
Coupon barrier prices:$104.55 for Airbnb, $89.016 for Marriott, $30.594 for Tripadvisor; 60% of initial prices
Knock-in levels:$104.55 for Airbnb, $89.016 for Marriott, $30.594 for Tripadvisor; 60% of initial prices
Pricing date:April 26, 2021
Settlement date:April 30, 2021
Agent:Credit Suisse Securities (USA) LLC
Fees:1.25%
Cusip:22550MSZ3

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