By Wendy Van Sickle
Columbus, Ohio, Sept. 27 – Credit Suisse AG, London Branch priced $1.29 million of contingent coupon autocallable reverse convertible securities due March 30, 2021 linked to the least performing of three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The underliers are the SPDR S&P Oil & Gas Exploration & Production ETF, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR fund.
Interest is payable quarterly at an annual rate of 13.46% if each asset closes above its coupon barrier, 60% of its initial level, on the related observation date.
The notes will be called at par if the shares of the least performing asset close at or above its initial price on any quarterly trigger observation date.
The payout at maturity will be par unless any of the assets finishes below its 60% knock-in level, in which case investors will receive a number of shares of the least performing asset equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
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 assets: | SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Biotech ETF and Technology Select Sector SPDR fund
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| Amount: | $1.29 million
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| Maturity: | March 30, 2021
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| Coupon: | 13.46% per year, payable quarterly if each asset closes above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below knock-in price, in which case shares of least performing asset equal to $1,000 divided by initial share price or amount in cash equal to value of those shares
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| Call: | At par plus the coupon if all shares close at or above initial share price on any quarterly trigger observation date
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| Initial prices: | $23.79 for oil ETF, $82.71 for biotech ETF, $80.26 for technology fund
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| Coupon barriers: | $14.274 for oil ETF, $49.626 for biotech ETF, $48.156 for technology fund; 60% of initial levels
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| Knock-in levels: | $14.274 for oil ETF, $49.626 for biotech ETF, $48.156 for technology fund; 60% of initial levels
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| Pricing date: | Sept. 23
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| Settlement date: | Sept. 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22549J2F6
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