Published on 4/22/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million autocallable securities on S&P, Russell
By Toni Weeks
San Luis Obispo, Calif., April 22 – Credit Suisse AG, London Branch priced $1 million of 0% autocallable securities due April 24, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 8.75% if each underlying index closes at or above its trigger level on any of four annual observation dates. The trigger level is 100% of the initial level.
A knock-in event occurs if either index finishes at or below its knock-in level, 70% of its initial level, on the April 16, 2019 final valuation date.
If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par plus the contingent minimum return of 10%. If a knock-in event does occur, the payout will be par plus the return of the worst-performing index, with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1 million
|
| Maturity: | April 24, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent return of 10% if both indexes finish above 70% knock-in level; if either index finishes at or below knock-in level, exposure to decline of worst-performing index
|
| Call: | At par plus 8.75% per year if each underlying index closes at or above its initial level on any of four annual observation dates beginning April 18, 2016
|
| Initial levels: | 2,081.18 for S&P 500, 1,251.858 for Russell 2000
|
| Knock-in levels: | 1,456.826 for S&P 500, 876.3006 for Russell 2000, 70% of initial levels
|
| Pricing date: | April 17
|
| Settlement date: | April 24
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.7%
|
| Cusip: | 22546VBL9
|
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