New Issue: Credit Suisse sells $930,000 autocallable securities on MSCI EM, Stoxx

By Kiku Steinfeld

Chicago, June 30 – Credit Suisse AG, London Branch $930,000 of 0% autocallable securities due Dec. 29, 2025 linked to the MSCI Emerging Markets index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized redemption premium of 12.35% if each underlying index closes at or above its corresponding call level on any annual review date. The call level will be set at 100% of each index’s initial level for the first review date, at 97.5% for the second review date and at 95% for the third review date.

If the notes are not called, the payout at maturity will be the contingent return of 49.4% if each index finishes at or above its threshold level, 92.5% of its initial level.

If any index finishes below its 92.5% threshold level but the lowest performer finishes no lower than its knock-out-level, 70% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% drop of the lowest performing index from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable securities
Underlying indexes:	Euro Stoxx 50, MSCI Emerging Markets
Amount:	$930,000
Maturity:	Dec. 29, 2025
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 49.4% if each index finishes at or above its threshold level; if lowest performer falls below threshold but no lower than knock-in level, par; otherwise, 1% loss for each 1% decline of lesser performing index
Call:	Automatically at par plus 12.35% per year if each index closes at or above call level on any annual review date; call levels will be set at 100% of each index’s initial level for the first review date, at 97.5% for the second review date and at 95% for the third review date
Initial levels:	4217.06 for Stoxx, 1209.88 for EM
Threshold levels:	3900.7805 for Stoxx, 1119.139 for EM, 92.5% of initial levels
Knock-in levels:	2951.942 for Stoxx, 846.916 for EM, 70% of initial levels
Pricing date:	Dec. 22, 2021
Settlement date:	Dec. 28, 2021
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0%
Cusip:	22553PAP4

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