Credit Suisse’s $12.9 million autocallable notes linked to index, ETF offer 11.1% call premium

By Sheri Kasprzak

New York, June 12 – Structured products pricing action slowed Friday, led by a $12.9 million offering of index- and ETF-linked notes from Credit Suisse AG, London Branch.

The zero-coupon autocallable buffered return equity securities are linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a filing with the Securities and Exchange Commission.

The notes, due Dec. 15, 2016, pay par at maturity if the final level of each component is at least 80% of its initial level. Otherwise, investors lose 1.25% for each 1% decline of the worst-performing component beyond the 20% buffer.

The notes will be called at par plus an annualized redemption premium of 11.1% if each component closes at or above its initial level on any of three semiannual observation dates.

The iShares MSCI EAFE ETF fell $0.53, or 0.79%, to $66.20 on Friday, and the Russell 2000 index closed down 3.90, or 0.31%, at 1,265.02. The ETF has given up 5.05% over the past year, while the index has climbed 8.42% over the same period.

Citi sells Netflix notes

In other pricing action, Citigroup Inc. priced $3.53 million of autocallable contingent coupon equity-linked securities linked to Netflix, Inc., said a filing with the SEC.

The notes, due June 14, 2016, pay a contingent quarterly coupon at an annual rate of 13% if Netflix’s stock closes at or above the coupon barrier level, 75% of the initial price, on the valuation date for that quarter.

The notes are callable at par plus the contingent coupon if Netflix’s stock closes at or above the initial share price on any quarterly valuation date other than the final date.

If the notes are not called, the payout at maturity will be par plus the contingent coupon unless the stock finishes below the 75% barrier level, in which case investors receive a number of Netflix shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.

On Friday, Netflix’s stock fell $4.73 to end at $660.93.

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