Chicago, March 27 – Credit Suisse AG, London Branch, priced $592,000 of contingent coupon autocallable yield notes due June 21, 2021 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 19.61% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless either index finishes below its 75% knock-in level on any day during the life of the notes, in which case investors will be exposed to the decline of the least-performing index from its initial level with a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $592,000
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| Maturity: | June 21, 2021
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| Coupon: | 19.61% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its knock-in level on any day during the life of the notes, in which case investors will be exposed to the decline of the least-performing index from its initial level with a maximum payout of par
|
| Call: | Par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 2386.13 for S&P and 1037.415 for Russell
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| Coupon barrier levels: | 1789.5975 for S&P and 778.06125 for Russell, 75% of initial levels
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| Knock-in levels: | 1789.5975 for S&P and 778.06125 for Russell, 75% of initial levels
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| Pricing date: | March 16
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| Settlement date: | March 19
|
| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22551NRD0
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