New Issue: Credit Suisse sells $1 million Bares linked to basket of indexes, ETFs

By Marisa Wong

Morgantown, W.Va., Dec. 22 – Credit Suisse AG, London Branch priced $1 million of 0% Buffered Accelerated Return Equity Securities due March 23, 2022 linked to a basket of exchange-traded funds and indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket is comprised of the iShares MSCI EAFE ETF with a 65% weight, the iShares MSCI Emerging Markets ETF with a 15% weight, the Euro Stoxx 50 index with a 10% weight and Nikkei 225 index with a 10% weight.

If the final basket level is at least 75% of the initial level, the payout at maturity will be par plus 2.55 times the averaging return. The averaging return will be the average of the basket values on the 17 quarterly observation dates making up the life of the notes, subject to a minimum of zero.

If the final basket level is less than 75% of the initial level, the payout will be par plus (a) 1.3333 times the sum of the basket return and 25%, plus (b) 2.55 times the averaging return. Investors will receive less than par if the basket falls by more than 25% and the value of 2.55 times the averaging return does not offset the 1.3333% loss per 1% decline beyond the 25% buffer.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, London Branch
Issue:	Buffered Accelerated Return Equity Securities
Underlying basket:	iShares MSCI EAFE ETF (65% weight), iShares MSCI Emerging Markets ETF (15% weight), Euro Stoxx 50 index (10% weight) and Nikkei 225 index (10% weight)
Amount:	$1 million
Maturity:	March 23, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If the final basket level is at least 75% of the initial level, par plus 2.55 times the averaging return; if the final basket level is less than 75% of the initial level, par plus (a) 1.3333 times the sum of the basket return and 25%, plus (b) 2.55 times the averaging return
Initial component levels:	$70.80 for EAFE, $46.69 for EM, 3,609.42 for Euro Stoxx, 22,901.77 for Nikkei
Averaging return:	Average of the basket values on the 17 quarterly observation dates making up the life of the notes, subject to a minimum of zero
Initial basket level:	100
Buffer level:	75
Pricing date:	Dec. 18
Settlement date:	Dec. 21
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22550W2F3

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