New Issue: Credit Suisse prices $10.04 million contingent income autocallables on three indexes

By Wendy Van Sickle

Columbus, Ohio, Feb. 2 – Credit Suisse AG priced $10.04 million autocallable contingent income securities due Jan. 30, 2020 linked to the worse performing of the Nikkei 225 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at a rate of 9.9% per year if each index closes at or above its coupon barrier level, 70% of its initial index level, on each day of that quarter.

Beginning July 27, 2017, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final one.

If each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.

Credit Suisse International is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable contingent income securities
Underlying indexes:	Nikkei 225, Russell 2000 and Euro Stoxx 50
Amount:	$10,042,000
Maturity:	Jan. 30, 2020
Contingent payment:	9.9% per year, payable quarterly if each index closes at or above knock-in level on the observation date that quarter
Price:	Par
Payout at maturity:	Par unless any index finishes below its downside threshold level, in which case exposure to decline of least-performing index
Call:	Automatically at par plus contingent payment if each index closes above initial level on any quarterly observation date
Initial index levels:	19,467.40 for Nikkei, 1,370.704 for Russell, 3,303.33 for Stoxx
Coupon barriers:	13,627.18 for Nikkei, 959.493 for Russell, 2,312.33 for Stoxx, 70% of initial levels
Downside thresholds:	11,680.44 for Nikkei, 822.422 for Russell, 1,982.00 for Stoxx, 60% of initial levels
Pricing date:	Jan. 27
Settlement date:	Feb. 1
Agent:	Credit Suisse Securities (USA) LLC
Distributor:	Morgan Stanley Wealth Management.
Fees:	2%
Cusip:	22548QTB1

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