New Issue: Credit Suisse sells $4.45 million callable contingent income securities on three SPDR ETFs

By William Gullotti

Buffalo, N.Y., Sept. 14 – Credit Suisse AG, London Branch priced $4.45 million of callable contingent income securities due Sept. 6, 2024 linked to the least performing of the Energy Select Sector SPDR 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 8.75% if each ETF closes at or above its coupon barrier level, 80% of the initial level, on the observation date for that period.

The notes are callable at par at the option of the issuer on any quarterly early redemption date.

If the notes are not called and each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.

If the worst performer declines below the coupon barrier but finishes at or above its 60% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing ETF from its initial level.

Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.

Issuer:	Credit Suisse AG, London Branch
Issue:	Callable contingent income securities
Underlying funds:	Energy Select Sector SPDR Fund, Financial Select Sector SPDR Fund, Industrial Select Sector SPDR Fund
Amount:	$4,453,000
Maturity:	Sept. 6, 2024
Coupon:	8.75% annual rate, payable quarterly if each ETF closes at or above coupon barrier level on observation date for that period
Price:	Par of $10
Payout at maturity:	If each ETF finishes at or above coupon barrier level, par plus final coupon; if the worst performer finishes below coupon barrier but at or above the 60% barrier level, par; otherwise, 1% loss for each 1% decline of the least-performing ETF from initial level
Call option:	At par at the option of the issuer on any quarterly early redemption date
Initial levels:	$48.62 for Energy, $38.07 for Financial, $104.59 for Industrial
Coupon barrier levels:	$38.90 for Energy, $30.46 for Financial, $83.67 for Industrial; 80% of initial prices
Barrier levels:	$29.17 for Energy, $22.84 for Financial, $62.75 for Industrial; 60% of initial prices
Pricing date:	Sept. 3
Settlement date:	Sept. 9
Agent:	Credit Suisse Securities (USA) LLC
Distributor:	Morgan Stanley Smith Barney LLC
Fees:	2%
Cusip:	22552Y879

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