By Devika Patel
Knoxville, Tenn., Sept. 27 – Credit Suisse AG, London Branch, priced $6.36 million of autocallable securities due Sept. 30, 2020 linked to the S&P 500 index 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 be automatically called at par plus an annualized redemption premium of 18.4% if each underlying asset is at or above its initial level on any annual review date.
If each underlying asset finishes at or above its initial level, the payout at maturity will be par plus a contingent maximum return of 73.6%.
If either underlying asset finishes below its initial level but neither asset falls by 30% or more, the payout will be par plus 10%.
If either underlying asset finishes at or below the 70% knock-in level, investors will lose 1% for each 1% decline of the lesser performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying assets: | S&P 500 and SPDR S&P Oil & Gas Exploration & Production ETF
|
| Amount: | $6,355,000
|
| Maturity: | Sept. 30, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent maximum return of 73.6% if each underlying asset finishes at or above its initial level; par plus 10% if each underlying asset finishes below its initial level but neither asset falls by 30% or more; otherwise, 1% loss for each 1% decline of worse-performing asset
|
| Call: | At par plus 18.4% per year if each underlying asset closes at or above its initial level on any annual observation date
|
| Initial levels: | 2,164.69 for index and $36.15 for ETF
|
| Knock-in levels: | 1,515.283 for index and $25.305 for ETF, 70% of initial levels
|
| Pricing date: | Sept. 23
|
| Settlement date: | Sept. 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.6%
|
| Cusip: | 22548QFD2
|
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