By Susanna Moon
Chicago, Dec. 26 – Credit Suisse AG, London Branch priced $1 million of contingent coupon buffered autocallable yield notes due Dec. 21, 2020 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8.55% if each index closes at or above its 80% coupon barrier on an observation date for that quarter.
The notes will be called at par if each index closes above its initial level on any quarterly call date.
The payout at maturity will be par unless either index falls by more than 20%, in which case investors will lose 1.25% for each 1% decline of the worse performing index.
Credit Suisse Securities (USA) 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 indexes: | Russell 2000, Euro Stoxx 50
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| Amount: | $1 million
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| Maturity: | Dec. 21, 2020
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| Coupon: | 8.55% annualized, payable quarterly if each index closes at or above its 75% barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index falls by more than geared buffer, in which case 1.25% loss for each 1% decline of worse performing index beyond 20%
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| Call: | At par if each index closes above initial level on any quarterly call date
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| Initial index levels: | 1,506.95 for Russell and 3,556.22 for Stoxx
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| Barrier levels: | 1,205.56 for Russell and 2,844.976 | for Stoxx; 80% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Dec. 14
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| Settlement date: | Dec. 19
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| Fees: | 0.1%
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| Cusip: | 22550BTN3
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