New Issue: Credit Suisse sells $708,000 contingent coupon autocallables on index, ETFs

By Tali Rackner

Minneapolis, Jan. 12 – Credit Suisse AG, London Branch priced $708,000 of contingent coupon autocallable yield notes due July 12, 2019 linked to the least performing of the Russell 2000 index, the iShares MSCI Emerging Markets exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 6.05% if each underlying component closes at or above its 70% coupon barrier on an observation date for that quarter.

The notes will be called at par if each component closes at or above its initial level on any quarterly call date after six months.

The payout at maturity will be par unless any component finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing index or fund.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Contingent coupon autocallable yield notes
Underlying components:	Russell 2000 index, iShares MSCI Emerging Markets ETF and SPDR S&P Oil & Gas Exploration & Production ETF
Amount:	$708,000
Maturity:	July 12, 2019
Coupon:	6.05% per year, payable quarterly if each underlying component closes at or above its coupon barrier level on observation date for that quarter
Price:	Par
Payout at maturity:	Par unless any component finishes below knock-in level, in which case full exposure to the losses of the least-performing component
Call:	Automatically if each underlying component closes at or above initial level on any quarterly call date after six months
Initial prices:	1,560,099 for Russell, $49.05 for EM ETF and $38.71 for oil & gas ETF
Coupon barrier levels:	1,092.0693 for Russell, $34.335 for EM ETF and $27.097 for oil & gas ETF; 70% of initial levels
Knock-in levels:	936.0594 for Russell, $29.43 for EM ETF and $23.2261 for oil & gas ETF; 60% of initial levels
Pricing date:	Jan. 9
Settlement date:	Jan. 12
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.325%
Cusip:	22550W3T2

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