By Cady Vishniac
Detroit, Jan. 5 – Credit Suisse AG, London Branch priced $3.38 million of contingent coupon callable yield notes due June 28, 2022 linked to the lowest performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 8.85% if each index closes at or above its coupon barrier level, 60% of its initial level, on the related observation date.
The notes will be callable quarterly at par plus any coupon due after six months.
If no indexes close for the day below their knock-in levels, 60% of their initial levels, at any time during the life of the notes, the payout at maturity will be par plus the final coupon.
If any index closes below its knock-in level, but all indexes finish at or above their initial levels, the payout will be par plus the final coupon. If any index closes for the day below its knock-in level and any index finishes below its initial level, investors will be fully exposed to the losses of the least-performing index, but will receive any coupon due.
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 indexes: | Russell 2000, Nasdaq-100 and S&P 500
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| Amount: | $3,375,000
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| Maturity: | June 28, 2022
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| Coupon: | 8.85% per year, payable monthly if each index closes at or above its coupon barrier level on related observation date
|
| Price: | Par
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| Payout at maturity: | Par plus the final coupon if no index closes below its knock-in level at any time during the life of the notes; if any index closes below its knock-in level but all indexes finish at or above their initial levels, par plus the final coupon; if any index closes below its knock-in level and any index finishes below its initial level, par plus the decline of the least-performing index, plus any coupon due
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| Call: | At par plus any coupon due on any quarterly call date after six months
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| Initial levels: | 3687.26 for S&P, 1989.880 for Russell and 12717.56 for Nasdaq
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| Coupon barrier/knock-in levels: | 2212.356 for S&P, 1193.928 for Russell, and 7630.536 for Nasdaq; 60% of initial levels
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.725%
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| Cusip: | 22552WZ32
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