Published on 3/15/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $8.31 million trigger phoenix autocallables linked to Russell 2000, S&P 500
By Angela McDaniels
Tacoma, Wash., March 15 – Credit Suisse AG, London Branch priced $8.31 million of trigger phoenix autocallable optimization securities due March 17, 2026 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8.75% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
Beginning March 13, 2017, the notes will be called at par if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and each index finishes at or above its trigger level, 50% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will be exposed to the decline of the lesser-performing index.
UBS Financial Services Inc. is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Trigger phoenix autocallable optimization securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $8,307,150
|
| Maturity: | March 17, 2026
|
| Coupon: | 8.75% per year, payable quarterly if each index closes at or above coupon barrier on observation date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus contingent coupon, if applicable, if each index finishes at or above trigger level; otherwise, full exposure to decline of lesser-performing index
|
| Call: | Automatically at par if each index closes at or above initial level on any quarterly observation date from March 13, 2017 onward
|
| Initial index levels: | 1,087.557 for Russell 2000 and 2,022.19 for S&P 500
|
| Coupon barriers: | 761.290 for Russell 2000 and 1,415.53 for S&P 500; 70% of initial levels
|
| Trigger levels: | 543.779 for Russell 2000 and 1,011.10 for S&P 500; 50% of initial levels
|
| Pricing date: | March 11
|
| Settlement date: | March 16
|
| Distributor: | UBS Financial Services Inc.
|
| Fees: | 3.5%
|
| Cusip: | 22548J739
|
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