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Published on 6/11/2020 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $4.39 million contingent income autocallables on Aflac

By Wendy Van Sickle

Columbus, Ohio, June 11 – Credit Suisse AG, London Branch priced $4.39 million of contingent income autocallable securities due June 2, 2023 linked to Aflac Inc. stock, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 12.65% if the stock closes at or above the 55% downside threshold on the determination date for that quarter.

The notes will be called at par plus the contingent coupon if the stock closes at or above its initial level on any quarterly determination date.

The payout at maturity will be par plus the final coupon unless the stock finishes below its downside threshold, in which case investors will be fully exposure to any losses.

The notes are guaranteed by Morgan Stanley.

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

Issuer:Credit Suisse AG, London Branch
Issue:Contingent income autocallable securities
Underlying stock:Aflac Inc.
Amount:$4,386,060
Maturity:June 2, 2023
Coupon:12.65% annualized, payable quarterly if stock closes at or above downside threshold level on determination date for that quarter
Price:Par
Payout at maturity:If final share price is at or above downside threshold, par plus contingent coupon; otherwise, lose 1% for each 1% decline
Call:At par plus contingent coupon if stock closes at or above initial share price on any quarterly determination date
Initial share price:$36.47
Downside threshold:$20.06, 55% of initial level
Pricing date:May 29
Settlement date:June 3
Agent:Credit Suisse Securities (USA) LLC
Distributor:Morgan Stanley Smith Barney LLC
Fees:2.5%
Cusip:22550V661

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