Credit Suisse plans autocallable securities on S&P 500, Euro Stoxx 50

By Jennifer Chiou

New York, March 26 – Credit Suisse AG plans to price 0% autocallable securities due April 2, 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 11.5% if each underlying index closes at or above its trigger level on any of three annual observation dates. The trigger level is roughly 100% of the initial level in 2016, dropping to 95% of the initial level in 2017 and to 90% of the initial level on the final valuation date. The exact coupon and trigger level will be set at pricing.

A knock-in event occurs if the final level of either index is at or below its knock-in level, 75% of its initial level.

If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par. If a knock-in event does occur, the payout will be a maximum of par, with full exposure to any losses.

The notes (Cusip: 22546VAR7) will price on March 27 and settle on March 31.

Barclays is the placement agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.