New Issue: Credit Suisse sells $438,000 contingent coupon autocallable yield notes on ETFs

By Sarah Lizee

Olympia, Wash., Aug. 1 – Credit Suisse AG, London Branch priced $438,000 of contingent coupon autocallable yield notes due Aug. 2, 2021 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon at an annual rate of 13.5% if each fund closes at or above its coupon barrier, 60% of its initial level, on the observation date for that quarterly

The notes will be automatically called at par if each fund closes at or above its initial level on any quarterly trigger observation date beginning Jan. 29, 2020.

The payout at maturity will be par unless either fund ever closes below its 60% knock-in level during the life of the notes, in which case the payout will be par plus the return of the lesser performing fund with 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 funds:	SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Biotech ETF
Amount:	$438,000
Maturity:	Aug. 2, 2021
Coupon:	13.5% per year, payable quarterly if each fund closes at or above its coupon barrier on any quarterly observation date
Price:	Par
Payout at maturity:	Par unless any fund ever closes below its 60% knock-in level during the life of the notes, in which case the payout will be par plus the return of the lesser performing fund with a maximum payout of par
Call:	Automatically at par if each fund closes at or above its initial level on any quarterly trigger observation date starting Jan. 29, 2020
Initial prices:	$23.76 for Oil & Gas, $85.46 for Biotech
Coupon barriers:	$14.256 for Oil & Gas, $51.276 for Biotech; 60% of initial levels
Knock-ins:	$14.256 for Oil & Gas, $51.276 for Biotech; 60% of initial levels
Pricing date:	July 29
Settlement date:	Aug. 1
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.75%
Cusip:	22552FN40

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