By Susanna Moon
Chicago, Oct. 11 – Credit Suisse AG, London Branch priced $848,000 of contingent coupon autocallable yield notes due March 30, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 9.5% if each fund closes at or above its 50% coupon barrier on the observation date for that quarter.
The notes will be called at par if each fund closes above its initial level on any quarterly call date after six months.
The payout at maturity will be par unless either fund ever closes below its 50% 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.
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 funds: | SPDR S&P Oil & Gas Exploration & Production ETF and SPDR S&P Biotech ETF
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| Amount: | $848,000
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| Maturity: | March 30, 2020
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| Coupon: | 9.5% per year, payable quarterly if each fund closes at or above its 50% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either fund ever closes below its knock-in level, in which case full exposure to any losses of worse performing fund
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| Call: | At par if each fund closes above initial level on any quarterly call date beginning March 26, 2018
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| Initial levels: | $34.12 for oil fund, $83.25 for biotech fund
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| Trigger levels: | $17.06 for oil fund, $41.63 for biotech fund; 50% of initial levels
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| Pricing date: | Sept. 26
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| Settlement date: | Sept. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.7%
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| Cusip: | 22550BGW7
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