New Issue: Credit Suisse prices $3 million contingent coupon autocallables on indexes, ETF

By Angela McDaniels

Tacoma, Wash., July 16 – Credit Suisse AG, London Branch priced $3 million of contingent coupon autocallable yield notes due July 17, 2025 linked to the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 9.5% per year if each underlying component closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.

Beginning Jan. 13, 2016, the notes will be automatically redeemed at par plus the contingent coupon if the closing level of each underlying component is greater than or equal to its initial level on any quarterly observation date.

If the notes are not called and the final level of each underlying component is greater than or equal to its knock-in level, 65% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the lowest-performing underlying component’s final level is less than its initial level.

Incapital LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying components:	Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets ETF
Amount:	$3 million
Maturity:	July 17, 2025
Coupon:	Each quarter, notes pay coupon at rate of 9.5% per year if each underlying component closes at or above coupon barrier level on observation date for that quarter
Price:	Par
Payout at maturity:	If final underlying component level of each underlying component is greater than or equal to knock-in level, par; otherwise, 1% loss for each 1% that lowest-performing underlying component’s final level is less than initial level
Call:	Beginning Jan. 13, 2016, notes will be automatically redeemed at par plus contingent coupon if closing level of each underlying component is greater than or equal to initial level on any quarterly observation date
Initial levels:	3,607.19 for Euro Stoxx 50, 1,273.328 for Russell 2000 and $38.77 for ETF
Coupon barrier levels:	2,525.033 for Euro Stoxx 50, 891.3296 for Russell 2000 and $27.139 for ETF; 70% of initial levels
Knock-in levels:	2,344.674 for Euro Stoxx 50, 827.6632 for Russell 2000 and $25.2005 for ETF; 65% of initial levels
Pricing date:	July 14
Settlement date:	July 17
Agent:	Incapital LLC
Fees:	4.5%
Cusip:	22546VGA8

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