Published on 5/14/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $775,000 callable cert plus notes on Euro Stoxx, iShares EM
By Toni Weeks
San Luis Obispo, Calif., May 14 – Credit Suisse AG, London Branch priced $775,000 of 0% callable cert plus securities due May 17, 2017 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either component finishes at or below its 65% knock-in level.
If the worst-performing component finishes above the initial level, the payout at maturity will be par plus 150% of the gain.
If the worst-performing component falls but a knock-in event has not occurred, the payout will be par.
Otherwise, the payout will be par plus the return of the worst-performing component, with exposure to any losses.
The notes are callable at par plus a call return of 17% on May 20, 2016.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable cert plus securities
|
| Underlying assets: | Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF
|
| Amount: | $775,000
|
| Maturity: | May 17, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst-performing component gains, par plus 150% of return; if worst-performing component falls by up to 35%, par; otherwise, par plus return of worst-performing component, with exposure to any losses
|
| Call option: | At par plus 17% on May 20, 2016
|
| Initial levels: | 3,573.1 for Euro Stoxx, $42.32 for iShares MSCI EM
|
| Knock-in levels: | 2,322.515 for Euro Stoxx, $27.508 for iShares MSCI EM, 65% of initial levels
|
| Pricing date: | May 12
|
| Settlement date: | May 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.8%
|
| Cusip: | 22546VDC7
|
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