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Published on 11/18/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $7 million digital plus barrier notes linked to indexes, EAFE ETF

By William Gullotti

Buffalo, N.Y., Nov. 18 – Credit Suisse AG, London Branch priced $7 million of 0% digital plus barrier notes due Nov. 19, 2026 linked to the lowest performing of the S&P 500 index, the Nasdaq-100 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.

If all underliers finish at or above knock-in level, 70% of initial level, the payout at maturity will be the greater of par plus the return of the laggard underlier and par plus 57%.

Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Digital plus barrier notes
Underlying assets:S&P 500 index, Nasdaq-100 index, iShares MSCI EAFE ETF
Amount:$7 million
Maturity:Nov. 19, 2026
Coupon:0%
Price:Par
Payout at maturity:If each underlier finishes at or above knock-in level, the greater of par plus the return of the laggard underlier and par plus 57%; otherwise, lose 1% for every 1% decline of the worst performer from its initial level
Initial levels:$81.23 for ETF, 4,682.8 for S&P, 16,189.12 for Nasdaq
Knock-in levels:$56.861 for ETF, 3,277.96 for S&P, 11,332.384 for Nasdaq; 70% of initial levels
Pricing date:Nov. 15
Settlement date:Nov. 18
Agent:Credit Suisse Securities (USA) LLC
Fees:None
Cusip:22553P3Y3

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