By Kiku Steinfeld
Chicago, Sept. 6 – Credit Suisse AG, London Branch priced $750,000 of 0% autocallable securities due Jan. 27, 2025 linked to the lowest performing of the SPDR S&P Regional Banking ETF and the Financial Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a redemption premium of 15.6% yearly if all funds close at or above their call levels, 100% of their initial levels, on either of two annual observation dates.
If the notes are not called and the final level of each fund is equal to or greater than its initial level, the payout at maturity will be par plus 200% of the return of the laggard fund.
If the worst performer falls but finishes at or above its 70% downside threshold, the payout at maturity will be par. If the final level of any fund is less than its downside threshold, investors will lose 1% for each 1% decline of the lesser performing fund from its initial level.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying funds: | SPDR S&P Regional Banking ETF and Financial Select Sector SPDR Fund
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| Amount: | $750,000
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| Maturity: | Jan. 27, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final level of the worst performing fund is greater than or equal to its initial level, par plus 200% of laggard fund’s return; if the worst performer declines up to downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing fund from initial level
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| Call: | Automatically at par plus annualized redemption premium of 15.6% if each fund closes at or above 100% of its initial level on either of two annual observation dates
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| Initial levels: | $71.61 for Banking, $38.20 for Financial
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| Downside thresholds: | $50.127 for Banking, $26.74 for Financial; 70% of initial levels
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| Pricing date: | Jan. 21, 2022
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| Settlement date: | Jan. 26, 2022
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22553PFX2
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