Published on 8/3/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $12.84 million step-up notes linked to Euro Stoxx, Dow
By Angela McDaniels
Tacoma, Wash., Aug. 3 – Credit Suisse AG, London Branch priced $12.84 million of 0% market-linked step-up notes due July 26, 2019 linked to a basket comprised of equal weights of the Euro Stoxx 50 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket level is greater than the step-up value, 125.6% of the initial basket level, the payout at maturity will be par plus the basket return.
If the final basket level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 25.6%.
If the final basket level is less than the initial level but greater than or equal to the threshold level, 90% of the initial basket level, the payout will be par. Investors will lose 1% for every 1% that the basket declines beyond 10%.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Market-linked step-up notes
|
| Underlying basket: | Euro Stoxx 50 index and Dow Jones industrial average, equally weighted
|
| Amount: | $12,836,090
|
| Maturity: | July 26, 2019
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final basket level is greater than step-up value, par plus basket return; if final basket level is greater than or equal to initial level but less than or equal to step-up value, par plus 25.6%; if basket decline by 10% or less, par; otherwise, 1% loss for every 1% that basket declines beyond 10%
|
| Initial index levels: | 3,583.79 for Euro Stoxx 50 and 17,745.98 for Dow
|
| Initial basket level: | 100
|
| Step-up value: | 125.6
|
| Pricing date: | July 30
|
| Settlement date: | Aug. 6
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2.5%
|
| Cusip: | 22539W699
|
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