By Wendy Van Sickle
Columbus, Ohio, March 12 – Credit Suisse AG, London Branch priced $2 million of contingent coupon buffered autocallable yield notes due Spt. 4, 2020 linked to the least performing of the Euro Stoxx Banks index and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 15% if each asset closes at or above its 85% coupon barrier on an observation date for that quarter.
The notes will be called at par if each asset closes above its initial level on any quarterly call date.
The payout at maturity will be par unless either asset falls by more than 15%, in which case investors will lose 1.1765% for each 1% decline of the worse performing asset beyond 15%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying assets: | SPDR S&P Regional Banking ETF, Euro Stoxx Banks index
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| Amount: | $2 million
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| Maturity: | Sept. 4, 2020
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| Coupon: | 15% annualized, payable quarterly if each index closes at or above its 85% barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset falls by more than buffer, in which case 1.1765% loss for each 1% decline of worse performing asset beyond 15%
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| Call: | At par if each index closes above initial level on any quarterly call date
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| Initial levels: | $62.56 for ETF and 130.19 for Stoxx Banks
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| Barrier levels: | $53.18 for ETF and 110.66 for Stoxx Banks; 85% of initial levels
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| Agent: | J.P. Morgan Securities LLC
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| Pricing date: | March 5
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| Settlement date: | March 8
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| Fees: | 1.75%
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| Cusip: | 22550WHV2
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