Published on 8/25/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.88 million autocallables linked to S&P 500, oil and gas ETF
By Angela McDaniels
Tacoma, Wash., Aug. 25 – Credit Suisse AG, London Branch priced $1.88 million of 0% autocallable securities due Aug. 28, 2019 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a premium of 17.6% per year if each underlying component closes at or above its initial level on any annual observation date.
If the notes are not called, the payout at maturity will be par plus 10% unless either underlying component finishes at or 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 underlying component.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying components: | S&P 500 index and SPDR S&P Oil & Gas Exploration and Production ETF
|
| Amount: | $1,875,000
|
| Maturity: | Aug. 28, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless either underlying component finishes at or below knock-in level, in which case full exposure to decline of lesser-performing underlying component
|
| Call: | Automatically at par plus 17.6% per year if each underlying component closes at or above initial level on any of three annual observation dates
|
| Initial levels: | 1,970.89 for index and $35.38 for ETF
|
| Knock-in levels: | 1,379.623 for index and $24.766 for ETF; 70% of initial levels
|
| Pricing date: | Aug. 21
|
| Settlement date: | Aug. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.7%
|
| Cusip: | 22546VJD9
|
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