Published on 1/9/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.55 million autocallable securities on S&P 500, Euro Stoxx
By Marisa Wong
Madison, Wis., Jan. 9 – Credit Suisse AG, Nassau Branch priced $2.55 million of autocallable securities due Jan. 12, 2018 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 13.55% if each underlying index closes at or above its trigger level on any of three annual observation dates beginning on Jan. 14, 2016. The trigger level is 100% of the initial level in 2016, 95% of the initial level in 2017 and 90% of the initial level in 2018.
If the notes are not called, the payout at maturity will be par plus the underlying return of the lower-performing index. If that index finishes at or above the 75% knock-in level, the payout at maturity will be par. Otherwise, investors will share in the losses of the lower-performing index.
Barclays is the placement agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50
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| Amount: | $2.55 million
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| Maturity: | Jan. 12, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par if lower-performing index finishes at or above 75% knock-in level; otherwise, par plus return of lower-performing index
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| Call: | At par plus 13.55% per year if each underlying index closes at or above its trigger level on any of three annual observation dates beginning on Jan. 14, 2016; trigger level is 100% of initial level in 2016, 95% of initial level in 2017 and 90% of initial level in 2018
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| Initial levels: | 2,025.900 for S&P, 3,026.790 for Euro Stoxx
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| Knock-in levels: | 1,519.425 for S&P, 2,270.093 for Euro Stoxx, 75% of initial levels
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Agent: | Barclays (placement)
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| Fees: | 2.25%
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| Cusip: | 22547QXE1
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