Published on 3/31/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $15.25 million market-linked step-up autocallables on Russell 2000
By Susanna Moon
Chicago, March 31 - Credit Suisse AG, London Branch priced $15.25 million of autocallable market-linked step-up notes due March 31, 2017 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 8% if the index closes at or above its initial level on any call quarterly date.
If the index finishes above the step-up value - 136.1% of the initial level - the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 36.1%.
Investors will receive par if the index falls by up to 5% and will be exposed to any losses beyond 5%.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $15,248,990
|
| Maturity: | March 31, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index finishes above step-up value, par plus index gain; if index finishes at or below step-up level but at or above initial level, par plus 36.1%; par if index falls by up to 5%; otherwise, exposure to any losses beyond 5%
|
| Initial index level: | 1,151.4407
|
| Step-up value: | 1,567.11, 136.1% of initial level
|
| Buffer level: | 1,093.87, 95% of initial level
|
| Call: | At par plus 8% annualized if index closes at or above initial level on any quarterly call date
|
| Pricing date: | March 27
|
| Settlement date: | April 3
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22545F631
|
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