New Issue: Credit Suisse sells $19.07 million autocallable notes on three ETFs

By Emma Trincal

New York, Jan. 22 – Credit Suisse AG, London Branch priced $19.07 million of autocallable contingent income securities due Jan. 20, 2023 linked to the least performing of the Energy Select Sector SPDR exchange-traded fund, the Financial Select Sector SPDR fund and the Industrial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 10% if each underlying closes at or above its coupon barrier level, 65% of the initial level, on the observation date for that period.

The notes will be called at par plus the coupon if each underlying closes at or above its initial share price on any quarterly call observation date.

If the notes are not called and each underlying finishes at or above its downside threshold level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the least-performing underlying from its initial level.

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

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable contingent income securities
Underlying:	Energy Select Sector SPDR ETF, Financial Select Sector SPDR fund and Industrial Select Sector SPDR fund
Amount:	$19,067,600
Maturity:	Jan. 20, 2023
Coupon:	10% annual rate, payable quarterly if each underlying closes at or above coupon trigger level on observation date for that period
Price:	Par
Payout at maturity:	If each underlying finishes at or above barrier level, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing underlying from initial level
Call:	At par plus coupon if each underlying closes at or above initial price on any quarterly call observation date
Initial levels:	$42.75 for Energy Select Sector, $30.94 for Financial Select Sector, $88.83 for Industrial Select Sector
Coupon trigger levels:	$27.79 for Energy Select Sector, $20.11 for Financial Select Sector, $57.74 for Industrial Select Sector, 65% of initial price
Barrier levels:	$27.79 for Energy Select Sector, $20.11 for Financial Select Sector, $57.74 for Industrial Select Sector, 65% of initial price
Pricing date:	Jan. 15
Settlement date:	Jan. 21
Agent:	Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC as a distributor
Fees:	2%
Cusip:	22551F327

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