Published on 2/9/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.7 million autocallable notes on Euro Stoxx 50, Russell 2000
By Toni Weeks
San Luis Obispo, Calif., Feb. 9 – Credit Suisse AG, Nassau Branch priced $6.7 million of autocallable securities due Feb. 12, 2018 linked to the Euro Stoxx 50 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 call premium of 12.5% if each index closes at or above its trigger level on any of three annual observation dates. The trigger levels are equal to the initial levels on the first observation date and 90% of the initial levels on the second and third observation dates.
If the notes are not called, the payout at maturity will be par if both indexes finish at or above the 70% knock-in level. If either index closes below the knock-in level, investors will be exposed to losses on the worst-performing index.
Barclays is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | Euro Stoxx 50 and Russell 2000
|
| Amount: | $6.7 million
|
| Maturity: | Feb. 12, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if both indexes finish at or above 70% knock-in level; if either index closes below its knock-in level, exposure to decline of worst-performing index
|
| Call: | At par plus 12.5% per year if each index closes at or above trigger level on Feb. 11, 2016, Feb. 7, 2017 or Feb. 7, 2018
|
| Initial levels: | 3,398.16 for Euro Stoxx, 1,205.464 for Russell 2000
|
| Trigger levels: | 100% of initial levels on first observation date; 90% of initial levels on second and third observation dates
|
| Knock-in levels: | 2,378.712 for Euro Stoxx, 843.8248 for Russell 2000, 70% of initial levels
|
| Pricing date: | Feb. 6
|
| Settlement date: | Feb. 10
|
| Agent: | Barclays
|
| Fees: | 2.23%
|
| Cusip: | 22546V4R4
|
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