$24,956,000 Contingent Coupon Autocallable Yield Notes Linked to the Performance of the Lowest Performing of Three Underlyings due January 26, 2023, priced on January 22, 2021, were issued by Credit Suisse AG. The pricing supplement for this note (CUSIP: 22552X4W0) can be found here.

The notes had a $1,000 face value and paid a quarterly coupon of $36.625, so long as the notes had not been called and SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF all closed above 70% of their January 22, 2021 closing prices on a determination date. If SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF closed below 70% of their January 22, 2021 closing prices on a determination date, the notes did not pay a coupon.

If not previously called, at maturity, the notes returned $1,000 in principal if SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF all closed on the final determination date on January 23, 2023 and above 70% of their January 22, 2021 closing prices. If on January 23, 2023 SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF closed below 70% of their January 22, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF January 23, 2023 closing prices to their January 22, 2021 closing prices.

The notes have matured. They paid three coupons totaling $109.875 and $571.32 repayment per $1,000 note. Investors thus suffered capital losses of $428.68 and net losses of $318.81.^† In the aggregate, investors in this note suffered $10,698,233 in capital losses and $7,956,192 in net losses. See Table 1 and Figure 1.

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† SLCG estimated these losses based on publicly available information. The issuer ultimately determines the amounts paid which may differ from our estimates. Our reference to capital loss and net loss does not imply SLCG's view of how these losses are treated for tax purposes.

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For nearly 25 years, SLCG Economic Consulting, LLC ("SLCG") has provided consulting services to individuals, corporations and state and federal agencies mostly related to finance and economics. SLCG professionals include professionals with substantial academic and government experiences who conduct ongoing publishable research.

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