New Issue: Credit Suisse sells $3.11 million contingent coupon autocallable yield notes on indexes

By Kiku Steinfeld

Chicago, Dec. 17 – Credit Suisse AG, London Branch priced $3.11 million of contingent coupon autocallable yield notes due Dec. 2, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

Every quarter, the notes pay a contingent coupon at the rate of 7.6% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.

The notes will be called at par plus the coupon if each index closes above its initial level on any observation date except the final one.

The payout at maturity will be par plus any coupon unless any index finishes below its knock-in level, 65% of its initial level, and any index closes below its initial value in which case investors will be exposed to the decline of the least-performing index from its initial level with a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying indexes:	S&P 500, Russell 2000 and Dow Jones industrial average
Amount:	$3,109,000
Maturity:	Dec. 2, 2021
Coupon:	7.6% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
Price:	Par
Payout at maturity:	Par plus any coupon unless any index finishes below knock-in level and lowest performer finishes below initial value, in which case exposure to decline of least-performing index with maximum payout of par
Call option:	Automatically at par plus coupon if each index closes above initial level on any quarterly observation date except final one
Initial levels:	3,140.52 for S&P, 28,121.68 for Dow, 1,624.231 for Russell
Coupon barrier levels:	2,198.364 for S&P, 19,685.176 for Dow, 1,136.9617 for Russell, 70% of initial levels
Knock-in levels:	2,041.338 for S&P, 18,279.092 for Dow, 1,055.7502 for Russell, 65% of initial levels
Pricing date:	Nov. 26
Settlement date:	Dec. 2
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.5%
Cusip:	22551NBM7

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