Published on 3/31/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.45 million autocallable notes on Euro Stoxx, S&P
By Marisa Wong
Madison, Wis., March 31 – Credit Suisse AG, London Branch priced $6.45 million of 0% autocallable securities due April 2, 2018 linked to the S&P 500 index and the Euro Stoxx 50 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 11.8% if each underlying index closes at or above its trigger level on any of three annual observation dates. The trigger level is 100% of the initial level in 2016, dropping to 95% of the initial level in 2017 and to 90% of the initial level on the final valuation date.
A knock-in event occurs if the final level of either index is below its knock-in level, 75% of its initial level.
If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par. If a knock-in event does occur, the payout will be par plus the return of the lower performing index, subject to a maximum of par and with full exposure to any losses.
Barclays is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500 index and the Euro Stoxx 50 index
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| Amount: | $6.45 million
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| Maturity: | April 2, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless final level of either index is below its knock-in level, in which case par plus return of lower performing index, with full exposure to any losses
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| Call: | At par plus 11.8% per year if each underlying index closes at or above its trigger level on any of three annual observation dates; trigger level is 100% of initial level in 2016, dropping to 95% of initial level in 2017 and to 90% of initial level on final valuation date
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| Initial levels: | 3,679.03 for Euro Stoxx, 2,061.02 for S&P 500
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| Knock-in levels: | 2,759.2725 for Euro Stoxx, 1545.765 for S&P 500; 75% of initial levels
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| Pricing date: | March 27
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| Settlement date: | March 31
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| Agent: | Barclays
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| Fees: | 2.25%
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| Cusip: | 22546VAR7
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