By William Gullotti
Buffalo, N.Y., May 18 – Credit Suisse AG priced $2.51 million of 0% market-linked securities – autocallable with contingent coupon and contingent downside due May 16, 2025 linked to the SPDR S&P Biotech ETF and the Energy Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 16.7% if each ETF closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par plus coupon if each ETF closes at or above its initial level on any quarterly observation date after six months.
If the notes are not called and each ETF finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 60% downside threshold, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
Wells Fargo Securities LLC is the agent.
| Issuer: | Credit Suisse AG
|
| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
|
| Underlying funds: | SPDR S&P Biotech ETF, Energy Select Sector SPDR Fund
|
| Amount: | $2,514,000
|
| Maturity: | May 16, 2025
|
| Coupon: | 16.7% per year, payable monthly if each ETF closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | If each ETF finishes at or above its coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above downside threshold, par; otherwise, full exposure to decline of worst performer from initial level
|
| Call: | Automatically at par plus coupon if each ETF closes at or above initial level on any quarterly observation date after six months
|
| Initial levels: | $80.78 for Energy, $68.60 for Biotech
|
| Coupon barriers: | $56.546 for Energy, $48.02 for Biotech; 70% of initial levels
|
| Downside thresholds: | $48.468 for Energy, $41.16 for Biotech; 60% of initial levels
|
| Pricing date: | May 13
|
| Settlement date: | May 18
|
| Agent: | Wells Fargo Securities LLC
|
| Fees: | 2.5%
|
| Cusip: | 22553PX79
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
