By Kiku Steinfeld
Chicago, Aug. 17 – Credit Suisse AG, London Branch priced $675,000 of contingent coupon buffered autocallable yield notes with upper threshold feature due Feb. 10, 2022 linked to the lowest performing of the common stocks of American Airlines Group Inc., United Airlines Holdings Inc. and Delta Air Lines, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
If the lowest performing stock closes at or above its coupon barrier level, 60% of its initial share price, on a quarterly observation date, the notes will pay a contingent coupon at the rate of 37.2% per year for that quarter and all prior unpaid contingent coupons, if any.
The notes will be automatically called at par plus any previously unpaid coupons if the lowest performing stock closes at or above its initial share price on any quarterly observation date.
If all stocks finish above 50% of their initial levels, the payout will be par.
If the lowest performing stock’s final share price is less than the 50% buffer level, investors will receive at maturity two times the underlying return of the worst performer after a 50% buffer. In this scenario the return would be negative.
In one example of a negative-return scenario, if the worst performer declines by 70%, after the 50% buffer – the negative underlying return would be 20% times two (equals negative 40%) for a payout of $600 per $1,000 principal amount of notes.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon buffered autocallable yield notes with upper threshold feature
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| Underlying stocks: | American Airlines Group Inc., United Airlines Holdings Inc. and Delta Air Lines, Inc.
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| Amount: | $675,000
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| Maturity: | Feb. 10, 2022
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| Coupon: | If lowest performing stock closes at or above coupon barrier level on quarterly observation date, 37.2% annual rate for that quarter and all prior unpaid contingent coupons, if any
|
| Price: | Par
|
| Payout at maturity: | Par unless lowest performing stock finishes below 50% buffer level, in which case investors will lose 2% for every 1% that lowest performing stock declines beyond 50% buffer
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| Call: | Automatically at par if lowest performing stock closes at or above initial share price on any quarterly observation date
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| Initial share price: | $11.08 for American, $25.20 for United, $31.87 for Delta
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| Coupon barrier level: | $6.648 for American, $15.12 for United, $19.122 for Delta; 60% of initial levels
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| Buffer level: | $5.54 for American, $12.60 for United, $15.935 for Delta; 50% of initial levels
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| Pricing date: | Aug. 6
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| Settlement date: | Aug. 13
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.2%
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| Cusip: | 22552WEP6
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