By Susanna Moon
Chicago, March 16 – Credit Suisse AG, London Branch priced $741,000 of contingent coupon autocallable yield notes due Sept. 5, 2019 linked to the lesser performing of the Russell 2000 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 pay a contingent quarterly coupon at an annual rate of 11.25% if each asset closes at or above its 65% coupon barrier on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any review date.
The payout at maturity will be par unless either asset ever closes below its 65% knock-in level, in which case investors will be fully exposed to any losses of the worse performing index or fund.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Russell 2000 index and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $741,000
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| Maturity: | Sept. 5, 2019
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| Coupon: | 11.25% annualized, payable quarterly if each asset closes at or above 65% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset ever closes below 6% knock-in, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par plus contingent coupon if each asset closes at or above initial level on any quarterly review date other than first and final dates
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| Initial levels: | 1,512.446 for Russell and $33.06 for fund
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| Knock-in levels: | 983.0899 for Russell and $21.489 for fund, 65% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.625%
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| Cusip: | 22550WBU0
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