Published on 1/11/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices autocallables linked to Euro Stoxx 50, S&P 500
By Wendy Van Sickle
Columbus, Ohio, Jan. 11 – Credit Suisse AG, London Branch priced $4.46 million of 0% autocallable securities due Jan. 14, 2019 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 a premium of 12.55% per year if each index closes at or above its trigger level on any annual observation date. For each index, the trigger level will be 100% of its initial level on the first observation date, 95% of its initial level on the second observation date and 90% of its initial level on the third observation date.
If the notes are not called, the payout at maturity will be par unless either index finishes below its knock-in level, 70% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500 and Euro Stoxx 50
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| Amount: | $4.46 million
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| Maturity: | Jan. 14, 2019
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless either index closes at or below knock-in level during life of notes, in which case par plus return of lesser-performing index, subject to maximum payout of par
|
| Call: | Automatically at par plus a 12.55% premium per year if each index closes at or above its trigger level on any annual observation date; trigger is 100% of initial level on first observation date, stepping down by 5% a year on second and third dates.
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| Initial index levels: | 3,084.68 for Euro Stoxx 50 and 1,943.09for S&P 500
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| Knock-in level: | 2,159.276 for Euro Stoxx 50 and 1,360.163for S&P 500; 70% of initial levels
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22546VU53
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