New Issue: Credit Suisse sells $2.5 million contingent coupon autocallable yield notes on indexes

By William Gullotti

Buffalo, N.Y., March 9 – Credit Suisse AG, London Branch priced $2.5 million of contingent coupon autocallable yield notes due March 9, 2027 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon at an annual rate of 10.5% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.

The notes will be called at par plus coupon if each index closes at or above its initial level on any quarterly trigger observation date.

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

If the worst performer finishes below its coupon barrier but at or above its 65% knock-in level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.

The agent is Credit Suisse Securities (USA) LLC.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying indexes:	Nasdaq-100 index, Russell 2000 index, Euro Stoxx 50 index
Amount:	$2.5 million
Maturity:	March 9, 2027
Coupon:	10.5% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
Price:	Par
Payout at maturity:	If each index finishes at or above coupon barrier, par plus final coupon; if the worst performer finishes below its coupon barrier but at or above knock-in level, par; otherwise, 1% loss for every 1% decline of the worst performer from its initial level
Call:	Automatically at par plus coupon if each index closes at or above initial level on any quarterly trigger observation date
Initial levels:	13,837.83 for Nasdaq, 2,000.9 for Russell, 3,556.01 for Stoxx
Coupon barriers:	9,686.481 for Nasdaq, 1,400.63 for Russell, 2,489.207 for Stoxx; 70% of initial levels
Knock-in levels:	8,994.5895 for Nasdaq, 1,300.585 for Russell, 2,311.4065 for Stoxx; 65% of initial levels
Pricing date:	March 4
Settlement date:	March 9
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.5%
Cusip:	22553PMC0

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