Published on 10/29/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4 million daily range accrual autocallables linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Oct. 29 – Credit Suisse AG, London Branch priced $4 million of autocallable daily range accrual securities due Oct. 29, 2030 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 8.3% per year multiplied by the proportion of days on which the index closes at or above its accrual barrier, 75% of its initial index level. Interest is payable monthly.
The notes will be automatically called at par if the index closes at or above the trigger level, 115% of the initial index level, on any quarterly trigger observation date.
The payout at maturity will be par unless the index finishes below the knock-in level, 60% of its initial level, in which case investors will be fully exposed to the decline from the initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable daily range accrual securities
|
| Underlying index: | S&P 500
|
| Amount: | $4 million
|
| Maturity: | Oct. 29, 2030
|
| Coupon: | 8.3% per year multiplied by proportion of days on which index closes at or above accrual barrier; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below knock-in level, in which case investors will be fully exposed to decline from initial level
|
| Call: | Automatically at par if index closes at or above trigger level on any quarterly trigger observation date
|
| Initial index level: | 2,071.18
|
| Knock-in level: | 1,242.708, 60% of initial level
|
| Accrual barrier: | 1,553.385, 75% of initial level
|
| Trigger level: | 2,381.857, 115% of initial level
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 29
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.375%
|
| Cusip: | 22546VNL6
|
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