New Issue: Credit Suisse sells $3.25 million contingent coupon autocallable yield notes on funds

By Taylor Fox

New York, Dec. 30 – Credit Suisse AG, London Branch, priced $3.25 million of contingent coupon autocallable yield notes due Dec. 22, 2022 linked to the least performing of the SPDR S&P Regional Banking ETF, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at the rate of 15% per year if each fund closes at or above its coupon barrier level, 68.6% of its initial level, on the related observation date.

The notes will be called at par plus the coupon if each fund closes above its initial level on any quarterly trigger observation date.

The payout at maturity will be par unless any fund finishes below its 68.6% knock-in level, in which case investors will be exposed to the decline of the least-performing asset from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying funds:	SPDR S&P Regional Banking ETF, SPDR S&P Biotech ETF and Technology Select Sector SPDR fund
Amount:	$3,250,000
Maturity:	Dec. 22, 2022
Coupon:	15% per year, payable quarterly if each underlying fund closes at or above its coupon barrier level on related observation date
Price:	Par
Payout at maturity:	Par unless any fund finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing fund from its initial level
Call:	Par plus the coupon if each fund closes above its initial level on any quarterly trigger observation date
Initial levels:	$50.58 for S&P Regional, $147.55 for S&P Biotech and $128.25 for Technology Select
Coupon barrier levels:	$34.69788 for S&P Regional, $101.2193 for S&P Biotech and $87.9795 for Technology Select; 68.6% of initial levels
Knock-in levels:	$34.69788 for S&P Regional, $101.2193 for S&P Biotech and $87.9795 for Technology Select; 68.6% of initial levels
Pricing date:	Dec. 18
Settlement date:	Dec. 24
Agent:	Credit Suisse Securities (USA) LLC
Fees:	1.75%
Cusip:	22552WYZ2

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