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Published on 2/22/2021 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $555,000 contingent coupon autocallable reverse convertibles on stock

By Taylor Fox

New York, Feb. 22 – Credit Suisse AG, London Branch priced $555,000 of autocallable reverse convertible notes with contingent coupons due May 16, 2022 linked to the common stock of Lockheed Martin Corp., according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly at an annualized rate of 7.1% if the stock closes above its coupon barrier, 80% of its initial level, on the observation date for the period.

The notes will be called at par if the shares close at or above the initial share price on any monthly trigger observation date after six months.

If the notes are not called, the payout at maturity will be par unless the shares finish below their trigger level, 80% of their initial price, in which case investors will receive a number of shares 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.

The agent is Credit Suisse Securities (USA) LLC.

Issuer:Credit Suisse AG, London Branch
Issue:Autocallable reverse convertible notes with contingent coupons
Underlying stock:Lockheed Martin Corp.
Amount:$555,000
Maturity:May 16, 2022
Coupon:7.1% annual rate, payable monthly if stock closes above coupon barrier on observation day for that period
Payout at maturity:Par unless stock finishes below trigger price, in which case a number of shares equal to $1,000 divided by the initial share price or cash value
Call:At par if shares close at or above initial share price on any monthly trigger observation date after six months
Initial level:$339.14
Coupon barrier/trigger price:$271.312; 80% of initial share price
Pricing date:Feb. 11
Settlement date:Feb. 16
Agent:Credit Suisse Securities (USA) LLC
Fees:2.25%
Cusip:22550MQT9

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