Published on 11/20/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million autocallable notes tied to four indexes
By Toni Weeks
San Luis Obispo, Calif., Nov. 20 – Credit Suisse AG, London Branch priced $1 million of autocallable securities due Nov. 20, 2019 linked to the S&P 500 index, the Euro Stoxx 50 index, the FTSE 100 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a redemption premium of 12.65% per year if each underlying index closes at or above its trigger level on any semiannual review date beginning May 15, 2015. The trigger level is 100% of the initial level for the first through ninth review dates and 70% of the initial level for the 10th review date.
If the notes are not called, the payout at maturity will be par plus the underlying return of the lowest-performing index.
If an index finishes at or above the 70% knock-in level, its underlying return will equal zero. Otherwise, the underlying return will equal the index return.
Citigroup Global Markets Inc. is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500, Euro Stoxx 50, FTSE 100 and Nikkei 225
|
| Amount: | $1 million
|
| Maturity: | Nov. 20, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if lower-performing index finishes at or above 70% knock-in level; otherwise, par plus return of lower-performing index
|
| Call: | At par plus 12.65% per year if each index closes at or above trigger level on any semiannual review date beginning May 15, 2015
|
| Initial levels: | 2,041.32 for S&P 500, 3,084.79 for Euro Stoxx, 6,671.97 for FTSE 100 and 16,973.8 for Nikkei
|
| Knock-in levels: | 1,428.924 for S&P 500, 2,159.353 for Euro Stoxx, 4,670.379 for FTSE 100 and 11,881.66 for Nikkei; 70% of initial levels
|
| Trigger levels: | 100% of initial levels for first through ninth review dates and 70% of the initial level for the 10th review date
|
| Pricing date: | Nov. 17
|
| Settlement date: | Nov. 20
|
| Agent: | Citigroup Global Markets Inc. (placement)
|
| Fees: | 1.25%
|
| Cusip: | 22547QX35
|
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