Published on 12/31/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $9.67 million trigger phoenix autocallables tied to S&P, Stoxx
By Susanna Moon
Chicago, Dec. 31 – Credit Suisse AG, London Branch priced $9.67 million of trigger phoenix autocallable optimization securities due Jan. 5, 2026 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 pay a contingent quarterly coupon at an annualized rate of 7.4% if each index closes at or above the coupon barrier level – 70% of the initial price – on an observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above the initial price on any quarterly observation date after one year.
The payout at maturity will be par plus the contingent coupon unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
UBS Financial Services Inc. will be the distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | S&P 500 index, Euro Stoxx 50 index
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| Amount: | $9,673,300
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| Maturity: | Jan. 5, 2026
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| Coupon: | 7.4%, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par of $10.00
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above trigger price; otherwise, par plus stock return of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial price on a quarterly observation date after one year
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| Initial levels: | 2,078.36 for S&P, 3,314.28 for Stoxx
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| Coupon barriers: | 1,454.85 for S&P, 2,320 for Stoxx; 70% of initial levels
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| Trigger levels: | 1,039.18 for S&P, 1,657.14 for Stoxx; 50% of initial levels
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| Pricing date: | Dec. 29
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| Settlement date: | Dec. 31
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 2%
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| Cusip: | 22548J317
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