New Issue: Credit Suisse sells $5.8 million contingent coupon autocallable yield notes on ETFs

By Wendy Van Sickle

Columbus, Ohio, Jan. 14 – Credit Suisse AG, London Branch priced $5.8 million of contingent coupon autocallable yield notes due Jan. 18, 2022 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production ETF, the Invesco QQQ Trust, series 1, the SPDR S&P 500 ETF and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon at an annual rate of 9.75% if each fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.

The notes will be automatically called at par if each fund closes at or above 90% of its initial level on any quarterly trigger observation date.

The payout at maturity will be par unless any fund finishes below its 65% knock-in level, in which case investors will be fully exposed to any losses of the least performing fund.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying funds:	SPDR S&P Oil & Gas Exploration & Production ETF, Invesco QQQ Trust, series 1, SPDR S&P 500 ETF and Financial Select Sector SPDR fund
Amount:	$5,802,000
Maturity:	Jan. 18, 2022
Coupon:	9.75% per year, payable quarterly if each fund closes at or above its coupon barrier on the quarterly observation date
Price:	Par
Payout at maturity:	Par unless any fund finishes below knock-in level, in which case full exposure to the losses of the least performing fund
Call:	Automatically at par if each fund closes at or above 90% of its initial level on any quarterly trigger observation date
Initial prices:	$30.40 for Oil & Gas, $160.69 for QQQ, $258.98 for SPDR S&P 500, $24.50 for Financial
Coupon barriers:	$21.28 for Oil & Gas, $112.483 for QQQ, $181.286 for SPDR S&P 500, $17.15 for Financial; 70% of initial levels
Knock-ins:	$19.76 for Oil & Gas, $104.4485 for QQQ, $168.337 for SPDR S&P 500, $15.925 for Financial; 65% of initial levels
Pricing date:	Jan. 11
Settlement date:	Jan. 15
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4%
Cusip:	22551LU40

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