By William Gullotti
Buffalo, N.Y., Sept. 12 – Credit Suisse AG, London Branch priced $3.34 million of autocallable contingent income securities due Sept. 5, 2025 linked to the performance of the Invesco QQQ Trust, Series 1, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10% if each ETF closes at or above its coupon barrier level, 70% of the initial level, on every trading day during the observation period. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
The notes will be called at par plus any coupon otherwise due if each ETF closes at or above its initial level on any quarterly call observation date after six months.
If the notes are not called and each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus any final coupon otherwise due.
If the worst performer finishes below its coupon barrier but at or above its 65% threshold level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC as the dealer.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying funds: | Invesco QQQ Trust, Series 1, iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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| Amount: | $3.34 million
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| Maturity: | Sept. 5, 2025
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| Coupon: | 10% annual rate, payable quarterly if each ETF closes at or above coupon barrier level on every trading day during the observation period; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par of $10
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| Payout at maturity: | If each ETF finishes at or above coupon barrier, the payout at maturity will be par plus any final coupon otherwise due; if the worst performer finishes below its coupon barrier but at or above its threshold level, par; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Call: | At par plus any coupon otherwise due if each ETF closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | $295.17 for Invesco, $180.09 for iShares, $392.24 for SPDR
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| Coupon barrier levels: | $206.62 for Invesco, $126.06 for iShares, $274.57 for SPDR; 70% of initial prices
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| Threshold levels: | $191.86 for Invesco, $117.06 for iShares, $254.96 for SPDR; 65% of initial prices
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| Pricing date: | Sept. 2
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| Settlement date: | Sept. 8
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| Agent: | Credit Suisse Securities (USA) LLC
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| Dealer: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 22552K259
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