By Marisa Wong
Madison, Wis., Feb. 25 – Credit Suisse AG, London Branch priced $1 million of autocallable contingent coupon buffered securities due Feb. 25, 2020 linked to the S&P 500 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.25% if each component closes at or above the coupon barrier level, 70% of the initial level, on the observation date for that quarter.
The payout at maturity will be par unless either component finishes below the 70% trigger level, in which case investors will lose 1.42857% for each 1% decline of the worst performing component beyond 30%.
The notes will be called at par plus the contingent coupon if either component closes at or above its initial level on any observation date beginning Feb. 22, 2016.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent coupon buffered securities
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| Underlying components: | S&P 500 index and United States Oil Fund, LP
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| Amount: | $1 million
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| Maturity: | Feb. 25, 2020
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| Coupon: | 9.25% per year, payable each quarter if each component closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either component finishes below trigger level, in which case investors will lose 1.42857% for each 1% decline of worst performing component beyond 30%
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| Call: | At par plus contingent coupon if either component closes at or above its initial level on any observation date beginning Feb. 22, 2016
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| Initial levels: | 2,110.30 for index and $18.65 for fund
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| Coupon barriers: | 1,477.2100 for index and $13.0550 for fund; 70% of initial levels
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| Pricing date: | Feb. 20
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| Settlement date: | Feb. 25
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22546V4P8
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