New Issue: Credit Suisse sells $838,000 contingent coupon autocallable reverse convertibles on bank stocks

By Wendy Van Sickle

Columbus, Ohio, July 6 – Credit Suisse AG, London Branch priced $838,000 of contingent coupon autocallable reverse convertibles due May 28, 2024 linked to the lowest performing of the shares of Fifth Third Bancorp, Wells Fargo & Co. and Capital One Financial Corp., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 8% if each stock closes at or above its coupon barrier price, 60% of its initial price, on the related observation date, plus any previously unpaid coupon.

The notes will be called at par plus the coupon due if all stocks close at or above their initial prices on any quarterly call observation date.

If all stocks finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus the final coupon. If any stock finishes below its knock-in price, investors will be fully exposed to the losses of the least-performing stock from its initial level, with the proceeds delivered in shares of the least-performing stock or cash at the issuer’s election.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable reverse convertibles
Underlying stocks:	Fifth Third Bancorp, Wells Fargo & Co. and Capital One Financial Corp.
Amount:	$838,000
Maturity:	May 28, 2024
Coupon:	8% per year, payable quarterly if each stock closes at or above its coupon barrier price on the related observation date, plus any previously unpaid coupon
Price:	Par
Payout at maturity:	Par plus the final coupon if no stock finishes below its knock-in price; if any stock finishes below its knock-in price, par plus the decline of the least-performing stock from its initial level, with proceeds delivered in shares of the least-performing stock or cash at the issuer’s option
Call:	At par plus the coupon due if all stocks close at or above their initial prices on any quarterly call observation date
Initial share prices:	$41.87 for Fifth Third, $46.24 for Wells Fargo, $160.74 for Capital One
Coupon barrier prices:	$25.122 for Fifth Third, $27.744 for Wells Fargo, $96.444 for Capital One; 60% of initial prices
Knock-in levels:	$25.122 for Fifth Third, $27.744 for Wells Fargo, $96.444 for Capital One; 60% of initial prices
Pricing date:	May 25
Settlement date:	May 28
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.5%
Cusip:	22550MTQ2

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