By Susanna Moon
Chicago, March 9 – Credit Suisse AG, London Branch priced $755,000 of contingent coupon autocallable yield notes due Feb. 26, 2021 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production ETF, the Financial Select Sector SPDR fund and the VanEck Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 13.6% if each fund closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes will be called at par if each fund closes at or above its initial level on any review date.
The payout at maturity will be par unless any fund finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worst performing fund.
Credit Suisse Securities (USA) LLC is the underwriter.
| 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, Financial Select Sector SPDR fund and VanEck Vectors Gold Miners ETF
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| Amount: | $755,000
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| Maturity: | Feb. 26, 2021
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| Coupon: | 13.6% annualized, payable quarterly if each fund closes at or above its 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any fund ends below 70% knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call: | At par if each fund closes at or above its initial level on any review date
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| Initial levels: | $21.97 for gold fund, $29.12 for financial fund and for $34.64 for oil fund
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| Barrier levels: | $15.379 for gold fund, $20.384 for financial fund and $24.248 for oil fund; 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: | 4%
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| Cusip: | 22550WDF1
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