Published on 9/30/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $50.26 million autocallable step-up notes linked to Russell 2000
By Angela McDaniels
Tacoma, Wash., Sept. 30 – Credit Suisse AG, London Branch priced $50.26 million of 0% autocallable market-linked step-up notes due Sept. 27, 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus 7.4% per year if the index closes at or above the initial index level on any annual call date.
If the notes are not called and the final index level is greater than the step-up value, 135% of the initial level, the payout at maturity will be par plus the index return.
If the final index 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 35%.
If the final index level is less than the initial index level by up to 15%, the payout will be par.
If the final index level is less than the initial index level by more than 15%, investors will lose 1% for every 1% that the index declines beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $50,258,200
|
| Maturity: | Sept. 27, 2019
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If notes are not called and final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 35%; if final index level is less than initial index level but greater than to equal to threshold value, par; otherwise, 1% loss for every 1% that index declines below threshold value
|
| Call: | Automatically at par plus 7.4% per year if index closes at or above initial index level on Sept. 28, 2015, Sept. 16, 2016, Sept. 15, 2017 or Sept. 21, 2018
|
| Initial index level: | 1,110.242
|
| Step-up value: | 1,498.83, 135% of initial index level
|
| Threshold value: | 943.71, 85% of initial index level
|
| Pricing date: | Sept. 25
|
| Settlement date: | Oct. 2
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22545F177
|
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