By Taylor Fox
New York, March 11 – Credit Suisse AG, London Branch priced $1.13 million of autocallable reverse convertible notes with contingent coupons due March 3, 2022 linked to the least performing of the Technology Select Sector SPDR fund and the Industrial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly at an annualized rate of 13.5% if the funds close above their coupon barriers, 80% of their initial levels, on the observation date for the quarter.
The notes will be called at par if both funds close at or above their initial share prices on any quarterly trigger observation date.
If the notes are not called, the payout at maturity will be par unless either fund finishes below its trigger level, 80% of its initial price, in which case investors will receive a number of shares equal to $1,000 divided by the initial share price for that fund or, at the issuer’s option, an amount in cash equal to the value of those shares.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable reverse convertible notes with contingent coupons
|
| Underlying funds: | Technology Select Sector SPDR fund and the Industrial Select Sector SPDR fund
|
| Amount: | $1,125,000
|
| Maturity: | March 3, 2022
|
| Coupon: | 13.5% annual rate, payable quarterly if funds close above coupon barrier on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either fund finishes below trigger price, in which case a number of shares equal to $1,000 divided by the initial share price or cash value represent full exposure to decline of worst performer
|
| Call: | At par if each asset closes at or above initial share price on any quarterly trigger observation date
|
| Initial levels: | $130.69 for Technology and $90.61 for Industrial
|
| Coupon barriers: | $104.552 for Technology and $72.488 for Industrial; 80% of initial share price
|
| Trigger prices: | $104.552 for Technology and $72.488 for Industrial; 80% of initial share price
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 3
|
| Agent: | Citigroup Global Markets Inc.
|
| Fees: | 1.25%
|
| Cusip: | 22550MRK7
|
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