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Published on 2/14/2022 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $1.07 million 17% autocallable reverse convertibles on three stocks

By William Gullotti

Buffalo, N.Y., Feb. 14 – Credit Suisse AG, London Branch priced $1.07 million of 17% autocallable reverse convertible securities due Sept. 8, 2022 linked to the least performing of the stocks of Apple Inc., Microsoft Corp. and WW International, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes will be called at par if the least-performing stock closes at or above its initial price on any monthly observation date after three months.

If the notes are not called, the payout at maturity will be par unless any of the stocks finishes below its 70% knock-in level, in which case investors will receive a number of shares of the least-performing stock equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Autocallable reverse convertible securities
Underlying stocks:Apple Inc., Microsoft Corp., WW International, Inc.
Amount:$1.07 million
Maturity:Sept. 8, 2022
Coupon:17% per year, payable monthly
Price:Par
Payout at maturity:Par unless any stock finishes below knock-in price, in which case shares of least-performing stock equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
Call:At par if shares close at or above initial share price on any monthly observation date after three months
Initial prices:$154.30 for Apple, $301.14 for Microsoft, $22.71 for WW
Knock-in levels:$108.01 for Apple, $210.798 for Microsoft, $15.897 for WW; 70% of initial levels
Pricing date:Sept. 3, 2021
Settlement date:Sept. 8, 2021
Agent:Credit Suisse Securities (USA) LLC
Fees:2.875%
Cusip:22550MWS4

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