By Susanna Moon
Chicago, May 31 – Credit Suisse AG, London branch priced $505,000 of contingent coupon callable yield notes due Nov. 29, 2019 linked to the worst performing of the VanEck Vectors Gold Miners ETF and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.15% if each underlying fund closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes are called at par on any determination date other than the final date.
The payout at maturity will be par unless either underlying fund finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worse performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | VanEck Vectors Gold Miners ETF and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $505,000
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| Maturity: | Nov. 29, 2019
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| Coupon: | 8.15% annualized, payable quarterly if each fund closes at or above 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing fund
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| Call option: | At par on any determination date other than final date
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| Initial levels: | $22.34 for gold fund and $42.84 for oil fund
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| Knock-in levels: | $15.638 for gold fund and $29.988 for oil fund, 70% of initial levels
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| Pricing date: | May 23
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| Settlement date: | May 29
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2.325%
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| Cusip: | 22550WUB1
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