By Susanna Moon
Chicago, March 13 – Credit Suisse AG, London Branch priced $1.53 million of contingent coupon autocallable yield notes due Aug. 28, 2020 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production ETF 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 annual rate of 9.85% 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 at or above its initial level on any review date.
The payout at maturity will be par unless either fund finishes below its 50% knock-in level, in which case investors will be fully exposed to any losses of the worse 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 Biotech ETF and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1,528,000
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| Maturity: | Aug. 28, 2020
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| Coupon: | 9.85% annualized, 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 ends below 50% 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: | $92.54 for biotech fund and $34.64 for oil fund
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| Barrier levels: | $46.27 for biotech fund and $17.32 for oil fund; 50% 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: | 2.5%
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| Cusip: | 22550WAP2
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