New Issue: Credit Suisse prices $616,000 five-year autocalls tied to S&P, Russell

By Susanna Moon

Chicago, July 27 – Credit Suisse AG, London branch priced $616,000 0% autocallable notes due July 27, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of 8% if each index closes at or above its initial level on any call observation date after one year.

If each index finishes at or above its initial level, the payout at maturity will be par plus the gain of the worse performing index.

If either index falls by up to its 70% knock-in level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London branch
Issue:	Contingent coupon autocallable yield notes
Underlying indexes:	Russell 2000, S&P 500
Amount:	$616,000
Maturity:	July 27, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus return of worse performing index; if either index falls by up to 30%, par; otherwise, 1% loss for each 1% decline of worse performing index
Call:	At par plus 8% if each index closes at or above its initial level on any call observation date after one year
Initial levels:	2,820.40 for S&P, 1,680.195 for Russell
Trigger levels:	1,974.2 for S&P, 1,176.1372 for Russell, 70% of initial levels
Pricing date:	July 24
Settlement date:	July 27
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4.6%
Cusip:	22550BTW3

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