Published on 8/19/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.54 million autocallables linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Aug. 19 - Credit Suisse AG, London Branch priced $1.54 million of 0% autocallable securities due Aug. 20, 2015 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Barclays is the agent.
The notes will be automatically called at par plus 10% if each underlying index closes at or above its initial level on Aug. 15, 2014.
If the notes are not called, the payout at maturity will be par plus the underlying return of the lower performing index.
If the final level of an index is greater than its initial level, its underlying return will be 210% of the index's gain. If the index finishes below its initial level but a knock-in event has not happened, its underlying return will equal zero. Otherwise, its underlying return will equal the index return.
A knock-in event occurs if either index finishes below its knock-in level, 80% of its initial level.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,535,000
|
| Maturity: | Aug. 20, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus underlying return of lower performing index
|
| Underlying return: | If final level of index is greater than initial level, 210% of index's gain; if index finishes below initial level but knock-in event has not happened, zero; otherwise, underlying return will equal index return; knock-in event occurs if either index finishes below knock-in level
|
| Call: | Automatically at par plus 10% if each underlying index closes at or above its initial level on Aug. 15, 2014
|
| Initial index levels: | 1,661.32 for S&P 500 and 1,027.61 for Russell 2000
|
| Knock-in levels: | 1,329.056 for S&P 500 and 822.088 for Russell 2000, 80% of initial levels
|
| Pricing date: | Aug. 15
|
| Settlement date: | Aug. 20
|
| Agent: | Barclays
|
| Fees: | 1.5%
|
| Cusip: | 22547QA30
|
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