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Published on 8/26/2019 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $867,000 contingent coupon autocallable yield notes on three indexes

By Kiku Steinfeld

Chicago, Aug. 26 – Credit Suisse AG, London Branch priced $867,000 of contingent coupon autocallable yield notes due Feb. 19, 2021 linked to the lowest performing of the S&P 500 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 coupon at an annualized rate of 7.35% if each index closes at or above its coupon barrier level, 70% of its initial level, on a related observation date.

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

The payout at maturity will be par unless any index closes below its 70% knock-in level during the life of the notes, in which case investors will fully participate in the return of least-performing index, subject to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable yield notes
Underlying indexes:S&P 500, Russell 2000 and Euro Stoxx 50
Amount:$867,000
Maturity:Feb. 19, 2021
Coupon:7.35% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
Price:Par
Payout at maturity:Par unless any index closes below its 70% knock-in level during the life of the notes, in which case investors will fully participate in the return of least-performing index, subject to a maximum payout of par
Call:At par plus coupon if each index closes at or above initial level on any quarterly trigger observation date
Initial levels:2,840.60 for S&P, 1,467.522 for Russell and 3,288.70 for Stoxx
Coupon barrier levels:1,988.42 for S&P, 1,027.2654 for Russell and 2,302.09 for Stoxx, 70% of initial levels
Knock-in levels:1,988.42 for S&P, 1,027.2654 for Russell and 2,302.09 for Stoxx, 70% of initial levels
Pricing date:Aug. 14
Settlement date:Aug. 19
Agent:Credit Suisse Securities (USA) LLC
Fees:2.175%
Cusip:22552FT85

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