New Issue: Credit Suisse sells $10 million autocallable fixed-income securities on NIKE

By Sarah Lizee

Olympia, Wash., June 9 – Credit Suisse AG, London Branch priced $10 million of 11% autocallable fixed-income securities due June 9, 2021 linked to NIKE, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

Credit Suisse will call the notes at par of $1,000 plus a coupon if the shares close above their initial level on any monthly observation date.

If the notes are not called and the final level of the stock is greater than or equal to its buffer level, 80% of its initial level, the payout will be par. Otherwise, investors will lose 1.25% for every 1% decline of the stock, and the redemption amount will equal the physical delivery amount (a number of shares of the stock rounded down to the nearest whole number and equal to the product of $1,000 divided by the buffer level and the share adjustment factor, which is 1) plus cash in lieu of any fractional shares, subject to the issuer’s election to pay cash instead of shares.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable fixed-income securities
Underlying shares:	NIKE, Inc.
Amount:	$10 million
Maturity:	June 9, 2021
Coupon:	11%, payable monthly
Price:	Par of $1,000
Payout at maturity:	If the notes are not called and the final level of the stock is greater than or equal to its buffer level, par; otherwise, investors will lose 1.25% for every 1% decline of the stock, and the redemption amount will equal the physical delivery amount (a number of shares of the stock rounded down to the nearest whole number and equal to the product of $1,000 divided by the buffer level and the share adjustment factor, which is 1) plus cash in lieu of any fractional shares, subject to the issuer’s election to pay cash instead of shares
Call:	Automatically at par plus coupon if shares close above initial level on any monthly observation date
Initial level:	$104.11
Buffer level:	$83.29; 80% of initial level
Pricing date:	June 4
Settlement date:	June 9
Agent:	Credit Suisse Securities (USA) LLC
Distributor:	Morgan Stanley Smith Barney LLC
Fees:	0.2%
Cusip:	22550MFQ7

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