By Susanna Moon
Chicago, Feb. 26 – Credit Suisse AG, London Branch priced $2.73 million of callable contingent coupon notes due Aug. 9, 2019 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund 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 10.8% if each underlying component closes at or above its 70% coupon barrier on the review date for that quarter.
The notes are callable at par on any review date.
The payout at maturity will be par unless either component finishes below its 60% knock-in level, in which case investors will be 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 callable yield notes
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| Underlying funds: | SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF
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| Amount: | $2.73 million
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| Maturity: | Aug. 9, 2019
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| Coupon: | 10.8% annualized, payable quarterly if each component closes at or above its 70% coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par unless either component ends below 60% knock-in level, in which case 1% loss per 1% decline of worse performing fund
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| Call option: | At par on any interest payment date beginning May 9, 2018
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| Initial levels: | $34.82 for oil fund, $91.05 for biotech fund
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| Knock-in levels: | $20.892 for oil fund, $54.63 for biotech fund; 60% of initial levels
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| Pricing date: | Feb. 6
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| Settlement date: | Feb. 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.725%
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| Cusip: | 22550WDD6
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