By Taylor Fox
New York, Oct. 26 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable reverse convertible securities due Sept. 24, 2021 linked to the lowest performing of the Technology Select Sector SPDR Fund and the Health Care Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly at an annual rate of 13.8% if both funds close at or above their 80% knock-in levels on a relevant observation date.
The notes will be called at par if both funds close at or above their initial levels on any quarterly trigger observation date.
The payout at maturity will be par unless either underlier finishes below the 80% knock-in level, in which case investors will receive a number of shares of the worst performer equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable reverse convertible securities
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| Underlying fund: | Technology Select Sector SPDR Fund and Health Care Select Sector SPDR Fund
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| Amount: | $1 million
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| Maturity: | Sept. 24, 2021
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| Coupon: | 13.8% payable quarterly if each fund closes at or above its knock-in level on a relevant observation date
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| Price: | Par
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| Payout at maturity: | Par unless either fund finishes below knock-in price, in which case a number of shares of worst performer equal to $1,000 divided by the initial share price or cash, at the issuer’s option
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| Call: | At par if shares close at or above initial share price on any quarterly trigger observation date
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| Initial levels: | $112.44 for Technology Select and $103.18 for Health
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| Coupon barrier levels: | $89.952 for Technology Select and $82.544 for Health, 80% of initial share price
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| Knock-in levels: | $89.952 for Technology Select and $82.544 for Health, 80% of initial share price
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| Pricing date: | Sept. 21
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| Settlement date: | Sept. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.25%
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| Cusip: | 22550MKF5
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