New Issue: Credit Suisse sells $3 million buffered accelerated return securities on index, ETF basket

By Wendy Van Sickle

Columbus, Ohio, Feb. 7 – Credit Suisse AG, London Branch priced $3 million of 0% buffered accelerated return equity securities due May 5, 2021 linked to a basket of the iShares MSCI Emerging Markets ETF with a 20% weight, the S&P 500 index with a 60% and the Russell 2000 index with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the return of the basket up to 9.25%.

Investors will receive par if the basket falls by 10% or less and will lose 1% for every 1% that the basket declines beyond 10%.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Buffered accelerated return equity securities
Basket components:	iShares MSCI Emerging Markets ETF (20% weight), S&P 500 index (60% weight), Russell 2000 index (20% weight)
Amount:	$3 million
Maturity:	May 5, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket return is positive, par plus 1.5 times the return of the basket, up to 9.25%; investors will receive par if the basket falls by 10% or less and will lose 1% for every 1% that the basket declines beyond 10%
Initial levels:	1,648.219 for Russell, 3,283.66 for S&P and $42.98 for ETF
Buffer levels:	90% of initial basket level
Pricing date:	Jan. 30
Settlement date:	Feb. 4
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	0.6%
Cusip:	22551NK39

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