By Tali Rackner
Norfolk, Va., Feb. 24 – Credit Suisse AG, London Branch priced $779,000 of contingent coupon autocallable yield notes due May 24, 2018 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 9.85% if each fund closes at or above its coupon barrier, 60% of its initial level, 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 quarterly observation date.
The payout at maturity will be par unless either fund finishes below its 60% 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 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, VanEck Vectors Gold Miners ETF
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| Amount: | $779,000
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| Maturity: | May 24, 2018
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| Coupon: | 9.85% per year, payable quarterly if each fund closes at or above its barrier level on any quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par plus unless either fund closes below its barrier level, in which full exposure to the losses of the worst-performing fund
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| Call option: | Automatically if each fund closes at or above its initial level on any observation date
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| Initial prices: | $39.81 for oil & gas, $24.62 for gold miners
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| Barrier/knock-in prices: | $23.886 for oil & gas, $14.772 for gold miners; 60% of initial levels
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.325%
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| Cusip: | 22548QVM4
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