Published on 7/21/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.88 million autocallables linked to China Enterprises, S&P 500
By Angela McDaniels
Tacoma, Wash., July 21 – Credit Suisse AG, Nassau Branch priced $6.88 million of 0% autocallable securities due July 24, 2018 linked to the Hang Seng China Enterprises index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus 12.5% per year if each index closes at or above its trigger level on any annual observation date. The trigger level is 100% of the initial level on the first observation date and 90% of the initial level on the second and third observation dates.
If the notes are not called, the payout at maturity will be par unless either index finishes below its knock-in level, 65% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
Barclays is the agent..
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | Hang Seng China Enterprises, S&P 500
|
| Amount: | $6,875,000
|
| Maturity: | July 24, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below knock-in level, in which case full exposure to decline of lesser-performing index
|
| Call: | Automatically at par plus 12.5% per year if each index closes at or above trigger level on any of three annual observation dates
|
| Initial index levels: | 11,850.14 for Hang Seng and 2,126.64 for S&P 500
|
| Knock-in levels: | 7,702.591 for Hang Seng and 1,382.316 for S&P 500, 65% of initial levels
|
| Trigger levels: | 100% of initial level on first observation date and 90% of initial level on second and third observation dates
|
| Pricing date: | July 17
|
| Settlement date: | July 24
|
| Agent: | Barclays
|
| Fees: | 2.25%
|
| Cusip: | 22546VHG4
|
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