By Wendy Van Sickle
Columbus, Ohio, May 31 – Credit Suisse AG, London Branch priced $2.4 million of contingent coupon autocallable yield notes due May 29, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 9.5% if each fund closes at or above its coupon barrier, 55% of its initial level, 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 trigger observation date starting after six months.
The payout at maturity will be par unless either fund finishes below its initial level and either fund ever closes below its 55% knock-in level, in which case investors will be fully exposed to any losses of the least-performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | SPDR S&P Regional Banking exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund
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| Amount: | $2,399,000
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| Maturity: | May 29, 2020
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| Coupon: | 9.5% per year, payable quarterly if each fund closes at or above its coupon barrier on the quarterly observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either fund finishes below initial level and ever close below its knock-in level, in which case full exposure to the losses of the least-performing fund
|
| Call: | Automatically if each fund closes at or above its initial level on any quarterly trigger observation date starting after six months
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| Initial prices: | $92.73 for Biotech ETF, $42.21 for Oil and Gas ETF
|
| Coupon barrier/knock-in levels: | $51.0015 for Biotech ETF, $23.2155 for Oil and Gas ETF; 55% of initial levels
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| Pricing date: | May 24
|
| Settlement date: | May 30
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22550WR74
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