By Angela McDaniels
Tacoma, Wash., Feb. 24 – Credit Suisse AG, London Branch priced $1.59 million of 0% accelerated barrier notes due Feb. 23, 2018 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.
If the final share price of the least-performing ETF is greater than or equal to its initial share price, the payout at maturity will be par plus 180% of the return of that ETF.
If the least-performing ETF finishes below its initial share price and a knock-in event does not occur, the payout will be par. A knock-in event occurs if either ETF finishes at or below its knock-in share price, 60% of its initial share price.
If the least-performing ETF finishes below its initial share price and a knock-in event occurs, investors will be fully exposed to the decline of the least-performing ETF.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Accelerated barrier notes
|
| Underlying funds: | United States Oil Fund, LP and Energy Select Sector SPDR Fund
|
| Amount: | $1,585,000
|
| Maturity: | Feb. 23, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If least-performing fund finishes at or above initial level, par plus 180% of return of that fund; if least-performing fund finishes below initial level and knock-in event does not occur, par; if knock-in event occurs, full exposure to decline of least-performing fund
|
| Knock-in event: | Either fund finishes at or below its knock-in level
|
| Initial levels: | $18.65 for oil fund and $80.54 for energy fund
|
| Knock-in levels: | $11.19 for oil fund and $48.324 for energy fund; 60% of initial share prices
|
| Pricing date: | Feb. 20
|
| Settlement date: | Feb. 25
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.8%
|
| Cusip: | 22546V5E2
|
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