By Devika Patel
Knoxville, Tenn., April 18 – Credit Suisse AG, London Branch, priced $1 million of contingent coupon autocallable yield notes due April 18, 2018 linked to the worst 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 contingent quarterly coupon at an annual rate of 10.5% if each ETF closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either ETF finishes below its 65% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing ETF.
The notes will be called at par if both ETFs close at or above their respective initial levels on any of the three quarterly trigger observation dates.
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 ETFs: SPDR S&P Oil & Gas Exploration & Production, VanEck Vectors Gold Miners
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| Amount: | $1 million
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| Maturity: | April 18, 2018
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| Coupon: | 10.5% per year per quarterly period if both ETFs close at or above coupon barrier levels during that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either ETF finishes below its 65% knock-in level, in which case 1% loss for each 1% decline of the worst performing ETF
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| Call option: | At par if both ETFs close at or above their initial levels on any trigger observation date
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| Initial index levels: | $36.33 for Oil, $24.54 for Gold
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| Coupon barrier levels: | $25.431 for Oil, $17.178 for Gold, 70% of initial levels
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| Knock-in levels: | $23.6145 for Oil, $15.951 for Gold, 65% of initial levels
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| Pricing date: | April 13
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| Settlement date: | April 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.325%
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| Cusip: | 22548QZQ1
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