Published on 8/28/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $500,000 contingent coupon Bares linked to oil, energy funds
By Angela McDaniels
Tacoma, Wash., Aug. 28 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon buffered accelerated return equity securities due May 31, 2022 linked to the United States Oil Fund, LP and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, if no coupon barrier event occurs, the notes will pay a contingent coupon at the rate of 4% per year. A coupon barrier event will occur if the closing level of either fund is less than its coupon barrier level, 70% its initial level, on the observation date for that quarter.
If the lesser-performing fund finishes at or above its initial level, the payout at maturity will be par plus 158.5% of the lesser-performing fund’s return. If the lesser-performing fund declines by 30% or less, the payout will be par. If the lesser-performing fund declines by more than 30%, investors will lose 1.4286% for every 1% that it declines beyond 30%.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon buffered accelerated return equity securities
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Underlying funds: | United States Oil Fund, LP and Energy Select Sector SPDR fund
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Amount: | $500,000
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Maturity: | May 31, 2022
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Coupon: | 4% per year, payable quarterly if each fund closes at or above coupon barrier on observation date for that quarter
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Price: | Par
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Payout at maturity: | If lesser-performing fund finishes at or above initial level, par plus 158.5% of lesser-performing fund’s return; if lesser-performing fund declines by 30% or less, par; if lesser-performing fund declines by more than 30%, 1.4286% loss for every 1% that it declines beyond 30%
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Initial share prices: | $12.73 for oil fund and $59.22 for energy fund
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Coupon barriers: | $8.911 for oil fund and $41.454 for energy fund; 70% of initial prices
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Pricing date: | Aug. 25
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Settlement date: | Aug. 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 1.55%
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Cusip: | 22546VKH8
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