Published on 3/3/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $33.89 million market-linked step-up autocallables on S&P 500
By Marisa Wong
Madison, Wis., March 3 - Credit Suisse AG, London Branch priced $33.89 million of autocallable market-linked step-up notes due Feb. 27, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 8% if the index closes at or above the initial level on an annual observation date.
If the index finishes above the step-up value - 118.22% of the initial level - the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 18.22%.
Investors will be fully exposed to any losses.
BofA Merrill Lynch is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | S&P 500
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Amount: | $33,886,410
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Maturity: | Feb. 27, 2017
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | If index finishes above step-up value, par plus index gain; if index finishes at or below step-up level but at or above initial level, par plus 18.22%; investors will be fully exposed to any losses
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Call: | At par plus call premium if index closes at or above initial level on annual observation date; call price of $10.80 if called on March 6, 2015 and $11.60 if called on Feb. 19, 2016
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Initial index level: | 1,854.29
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Step-up value: | 2,192.14, 118.22% of initial level
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Pricing date: | Feb. 27
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Settlement date: | March 6
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22545F730
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