By William Gullotti
Buffalo, N.Y., Nov. 9 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable reverse convertible securities due Aug. 3, 2022 linked to the performance of the Financial Select Sector SPDR Fund and the Technology Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 4.75% if each fund closes at or above its coupon barrier price, 70% of its initial price, on the related observation date.
The notes will be called at par plus the coupon if all funds close at or above their initial prices on any quarterly call observation date.
If all funds finish at or above their knock-in prices, 60% of their initial prices, the payout will be par plus any final coupon due. Otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that fund’s initial share price.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable reverse convertible securities
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| Underlying funds: | Financial Select Sector SPDR Fund, Technology Select Sector SPDR Fund
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| Amount: | $1 million
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| Maturity: | Aug. 3, 2022
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| Coupon: | 4.75% per year, payable quarterly if each fund closes at or above its coupon barrier price on the related observation date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if no fund finishes below its knock-in price; otherwise, investors will receive a number of shares of the worst performer equal to $1,000 divided by that fund’s initial share price
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| Call: | At par plus coupon if all funds close at or above their initial prices on any quarterly call observation date
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| Initial share prices: | $36.81 for Financial, $153.50 for Technology
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| Coupon barrier prices: | $25.767 for Financial, $107.45 for Technology; 70% of initial prices
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| Knock-in levels: | $25.767 for Financial, $107.45 for Technology; 70% of initial prices
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.25%
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| Cusip: | 22550MVR7
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