New Issue: Credit Suisse prices $4.75 million market-linked step-up notes tied to S&P 500

By Marisa Wong

Morgantown, W.Va., May 26 – Credit Suisse AG, London Branch priced $4.75 million of 0% market-linked step-up notes with enhanced buffer due May 27, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the step-up value – 124.5% of the initial level – the payout at maturity will be par plus the index gain.

If the index finishes at or below the step-up level but at or above the threshold level, 90% of the initial level, the payout will be par plus the step-up return of 24.5%.

Investors will be exposed to losses beyond 10%.

BofA Merrill Lynch is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Market-linked step-up notes with enhanced buffer
Underlying index:	S&P 500
Amount:	$4.75 million
Maturity:	May 27, 2022
Coupon:	0%
Price:	Par of $10.00
Payout at maturity:	If the index finishes above the step-up value, par plus the index gain; if the index finishes at or below the step-up level but at or above the threshold level, par plus 24.5%; exposure to losses beyond 10%
Initial level:	2,381.73
Step-up value:	2,965.25, 124.5% of initial level
Threshold level:	2,143.56, 90% of initial level
Pricing date:	May 19
Settlement date:	May 26
Underwriter:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	22547V238

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