Published on 7/29/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.68 million absolute return barrier autocallables on index, fund
By Toni Weeks
San Luis Obispo, Calif., July 29 – Credit Suisse AG, London Branch priced $2.68 million of 0% autocallable buffered absolute return barrier securities due Jan. 30, 2017 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will automatically be called at par plus an annualized redemption premium of 9.65% if each underlying component closes at or above its initial level on any of three semiannual observation dates.
If the notes are not called and the least-performing component finishes at or above 85% of its initial level, the payout at maturity will be par plus the absolute value of that return.
If the least-performing component finishes below the 85% trigger level, investors will lose 1.176470588% for each 1% decline of the least-performing component beyond the 15% buffer level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable buffered absolute return barrier securities
|
| Underlying components: | Russell 2000 index, iShares MSCI EAFE ETF
|
| Amount: | $2.68 million
|
| Maturity: | Jan. 30, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If least-performing component finishes at or above 85% of initial level, par plus absolute value of that component’s return; if least-performing component finishes below 85% trigger level, 1.176470588% loss for each 1% decline of least-performing component beyond 15% buffer
|
| Call: | At par plus 9.65% per year if each component closes at or above initial level on Jan. 26, 2016, July 26, 2016 or Jan. 25, 2017
|
| Initial levels: | 1,214.694 for Russell, $63.42 for iShares MSCI EAFE
|
| Buffer amount: | 15%
|
| Pricing date: | July 27
|
| Settlement date: | July 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.4%
|
| Cusip: | 22546VHN9
|
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