By Susanna Moon
Chicago, Feb. 27 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due Feb. 12, 2021 linked to the lesser performing of the SPDR S&P Biotech ETF and the Financial Select Sector SPDR 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 11.08% if each fund closes at or above its 80% coupon barrier 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 falls by more than 20%, in which case investors will lose 1.25% for each 1% decline of the worse performing fund beyond 20%.
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 assets: | SPDR S&P Biotech ETF and the Financial Select Sector SPDR Fund
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| Amount: | $1 million
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| Maturity: | Feb. 12, 2021
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| Coupon: | 11.08% annualized, payable quarterly if each fund closes at or above its 80% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either fund falls by more than 20%, in which case 1.25% loss per 1% decline of worse performing fund beyond 20%
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| Call: | At par if each fund closes at or above initial level on any quarterly trigger observation date beginning May 7, 2018
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| Initial levels: | $91.42 for biotech fund and $28.41 for financial fund
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| Barrier levels: | $73.136 for biotech fund and $22.728 for financial fund, 80% of initial levels
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| Pricing date: | Feb. 8
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| Settlement date: | Feb. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.1%
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| Cusip: | 22550WDY0
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