By Angela McDaniels
Tacoma, Wash., Aug. 26 – Credit Suisse AG, London Branch priced $1 million of contingent coupon buffered accelerated return equity securities due Aug. 26, 2021 linked to the United States Oil Fund, LP and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, if no coupon barrier event occurs, the notes will pay a contingent coupon at the rate of 4% per year. A coupon barrier event will occur if the closing level of either fund is less than its coupon barrier level, 70% its initial level, on the observation date for that quarter.
If the lesser-performing fund finishes at or above its initial level, the payout at maturity will be par plus 155% of the lesser-performing fund’s return. If the lesser-performing fund declines by 30% or less, the payout will be par. If the lesser-performing fund declines by more than 30%, investors will lose 1.4286% for every 1% that it declines beyond 30%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered accelerated return equity securities
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| Underlying funds: | United States Oil Fund, LP and Energy Select Sector SPDR fund
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| Amount: | $1 million
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| Maturity: | Aug. 26, 2021
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| Coupon: | 4% per year, payable quarterly if each fund closes at or above coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If lesser-performing fund finishes at or above initial level, par plus 155% of lesser-performing fund’s return; if lesser-performing fund declines by 30% or less, par; if lesser-performing fund declines by more than 30%, 1.4286% loss for every 1% that it declines beyond 30%
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| Initial share prices: | $13.23 for oil fund and $63.50 for energy fund
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| Coupon barriers: | $9.26 for oil fund and $44.45 for energy fund; 70% of initial prices
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| Pricing date: | Aug. 21
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| Settlement date: | Aug. 26
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22546VK88
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