By Susanna Moon
Chicago, April 5 – Credit Suisse AG, London Branch priced $446,000 of contingent coupon autocallable yield notes due Oct. 2, 2020 linked to the lesser 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 10.5% if each asset closes at or above its 50% coupon barrier on the observation date for that quarter.
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 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 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 and the SPDR S&P Biotech ETF
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| Amount: | $446,000
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| Maturity: | Oct. 2, 2020
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| Coupon: | 10.5% annualized, payable quarterly if each asset closes at or above 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 asset ever closes below 50% knock-in level, in which case 1% loss per 1% decline of worse performing 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: | $34.26 for oil fund, $87.01 for biotech fund
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| Trigger levels: | $17.13 for oil fund, $43.505 for biotech fund; 50% of initial levels
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| Pricing date: | March 28
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| Settlement date: | April 2
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22550WGG6
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