New Issue: Credit Suisse sells $844,000 contingent coupon autocallable reverse converts on ETFs

By Sarah Lizee

Olympia, Wash., March 29 – Credit Suisse AG, London Branch priced $844,000 of 8% contingent coupon autocallable reverse convertible securities due March 29, 2022 linked to the least performing of three ETFs, according to a 424B2 filing with the Securities and Exchange Commission.

The funds are VanEck Vectors Gold Miners ETF, the United States Natural Gas Fund, LP and the SPDR S&P Oil & Gas Exploration & Production ETF.

Interest is payable quarterly if each ETF closes above its coupon barrier, 60% of its initial level, on the related observation date.

The notes will be called at par if the shares of the least performing ETF close at or above 85% of its initial price on any quarterly trigger observation date, starting Sept. 25.

The payout at maturity will be par unless any of the ETFs finishes below its 60% knock-in level, in which case investors will receive a number of shares of the least performing ETF 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
Issue:	Contingent coupon autocallable reverse convertible securities
Underlying funds:	VanEck Vectors Gold Miners ETF, the United States Natural Gas Fund, LP and the SPDR S&P Oil & Gas Exploration & Production ETF
Amount:	$844,000
Maturity:	March 29, 2022
Coupon:	8% per year, payable quarterly if each ETF closes above coupon barrier on observation date
Price:	Par
Payout at maturity:	Par unless any ETF finishes below knock-in price, in which case shares of least performing ETF equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
Call:	At par plus the coupon if shares close at or above 85% of initial share price on any quarterly trigger observation date, starting Sept. 25
Initial prices:	$23.35 for VanEck, $24.18 for U.S. Natural Gas, $30.70 for S&P Oil
Coupon barrier/knock-in levels:	$14.01 for VanEck, $14.508 for U.S. Natural Gas, $18.42 for S&P Oil; 60% of initial levels
Pricing date:	March 26
Settlement date:	March 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3%
Cusip:	22549JJ27

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