New Issue: Credit Suisse prices $3.5 million fixed-to-contingent step-down notes on indexes

By Marisa Wong

Morgantown, W.Va., Feb. 6 – Credit Suisse AG, London Branch priced $3.5 million of fixed-to-contingent step-down coupon callable yield notes due Jan. 29, 2027 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

For the first year, interest is payable quarterly at an annualized rate of 12%. After that, the notes will pay a contingent coupon on a quarter only if each index closes at or above its 75% coupon barrier on the observation date for that quarter. The contingent coupon rate will be 12% for year two and 10% for years three through 10.

The notes will be callable at par on any interest payment date after one year.

The payout at maturity will be par unless any index finishes below its 50% knock-in level, in which case investors will have full exposure to the decline of the least performing index.

Incapital LLC is placement agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Fixed-to-contingent step-down coupon callable yield notes
Underlying indexes:	S&P 500, Russell 2000, Euro Stoxx 50
Amount:	$3.5 million
Maturity:	Jan. 29, 2027
Coupon:	For the first year, interest is payable quarterly at 12% per year; after that, notes pay a contingent coupon on a quarter only if each index closes at or above its coupon barrier on observation date for that quarter; contingent coupon rate will be 12% for year two and 10% for years three through 10
Price:	Par
Payout at maturity:	Par unless any index finishes below its knock-in level, in which case investors will have full exposure to decline of least performing index
Call option:	At par on any interest payment date after one year
Initial levels:	2,296.68 for S&P, 1,375.595 for Russell, 3,319.13 for Stoxx
Barrier levels:	1,722.51 for S&P, 1031.69625 for Russell, 2,489.3475 for Stoxx; 75% of initial levels
Knock-in levels:	1,148.34 for S&P, 687.7975 for Russell, 1,659.565 for Stoxx; 50% of initial levels
Pricing date:	Jan. 26
Settlement date:	Jan. 31
Agent:	Incapital LLC
Fees:	3.63%
Cusip:	22548QSQ9

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