New Issue: Credit Suisse sells $650,000 accelerated barrier notes tied to index, ETF basket

By Kiku Steinfeld

Chicago, Oct. 23 – Credit Suisse AG, London Branch priced $650,000 of 0% accelerated barrier notes due Oct. 4, 2024 linked to a weighted basket of three indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the of the S&P 500 index (40% weight), the Russell 2000 index (20% weight), the Euro Stoxx 50 index (20% weight) and the iShares MSCI Emerging Markets exchange-traded fund (20% weight).

If the basket finishes at or above its initial level, the payout at maturity will be par plus 133.25% of the basket return.

If the basket falls by up to 35%, the payout will be par.

Otherwise, investors will be fully exposed to the basket decline.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Accelerated barrier notes
Underlying basket:	S&P 500 index (40% weight), Russell 2000 index (20% weight), Euro Stoxx 50 index (20% weight) and iShares MSCI Emerging Markets ETF (20% weight)
Amount:	$650,000
Maturity:	Oct. 4, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket finishes at or above its initial level, par plus 133.25% of the basket return; if the basket falls by up to 35%, par; otherwise, investors will be fully exposed to the basket decline
Initial levels:	2940.25 for S&P, 1493.432 for Russell, 3518.25 for Stoxx, $40.58 for EM
Knock-in levels:	65% of initial levels
Pricing date:	Oct. 1
Settlement date:	Oct. 4
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3%
Cusip:	22552FYY2

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