By Susanna Moon
Chicago, March 13 – Credit Suisse AG, London Branch priced $518,000 of contingent coupon autocallable yield notes due Aug. 28, 2019 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production ETF and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 10.5% if each underlying asset closes at or above its 70% coupon barrier on the observation date for that month.
The notes will be called at par if each asset closes at or above its initial level on any review date.
The payout at maturity will be par unless either asset ever closes below its 70% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing fund or index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | SPDR S&P Oil & Gas Exploration & Production ETF and Russell 2000 index
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| Amount: | $518,000
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| Maturity: | Aug. 28, 2019
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| Coupon: | 10.5% annualized, payable monthly if each asset closes at or above its 70% coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either asset ever closes below its 70% knock-in level, in which case 1% loss per 1% decline of worse performing index or fund
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| Call: | At par if each asset closes at or above its initial level on any review date
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| Initial levels: | $34.64 for oil fund and 1,549.186 for Russell
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| Coupon barriers: | $24.248 for oil fund and 1,084.4302 for Russell; 70% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22550WCE5
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