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Published on 2/16/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $937,000 autocallable securities on Russell, Nasdaq

By Wendy Van Sickle

Columbus, Ohio, Feb. 16 – Credit Suisse AG, London Branch priced $937,000 of 0% autocallable securities due Aug. 3, 2022 linked to the lowest performing of the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annual redemption premium of 5% the lesser-performing index closes at or above its initial level on either semiannual observation date. The first premium is 3%.

If the notes are not called and the final level of each index is equal to or greater than its initial level, the payout at maturity will be par plus 1.5 times any gain in the worst-performing index.

If the final level of any index is less than its initial level but not below its knock-in level – 70% of its initial level, the payout will be par.

If the final level of any index is less than its 70% knock-in level, investors will lose 1% for each 1% decline of the lesser performing index from its initial level.

The agent is Credit Suisse Securities (USA) LLC.

Issuer:Credit Suisse AG, London Branch
Issue:Autocallable securities
Underlying indexes:Nasdaq-100 index and Russell 2000 index
Amount:$937,000
Maturity:Aug. 3, 2022
Coupon:0%
Price:Par
Payout at maturity:If lesser-performing index is equal to or greater than its initial level, par plus 1.5 times gain; if final level of lesser-performing index is less than its initial level but not below its knock-in level, par; otherwise, 1% loss for each 1% decline of lesser-performing index
Call:Automatically at par plus annualized redemption premium of 5% if each index closes at or above its initial level on either semiannual observation date; premium is 3% on first observation date
Initial levels:2,073.641 for Russell 2000 and 12,925.38 for Nasdaq-100
Knock-in levels:1,451.5487 for Russell 2000 and 9,047.766 for Nasdaq-100; 70% of initial levels
Pricing date:Jan. 29
Settlement date:Feb. 3
Agent:Credit Suisse Securities (USA) LLC
Fees:0.85%
Cusip:22552X2N2

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