Published on 3/2/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $120.26 million autocallable market-linked step-up notes on oil index
By Jennifer Chiou
New York, March 2 – Credit Suisse AG, London Branch priced $120,257,620 of 0% autocallable market-linked step-up notes due Feb. 24, 2017 tied to the S&P Oil & Gas Exploration and Production Select Industry index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus a premium of 15.1% if the index closes at or above the initial level on March 4, 2016.
If the index finishes at or above the initial level, the payout at maturity will be par of $10 plus the greater of the step-up payment and the index return. The step-up payment is 30%.
If the index falls by up to 5%, the payout will be par. Otherwise, investors will lose 1% for every 1% index decline beyond 5%.
BofA Merrill Lynch is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | S&P Oil & Gas Exploration and Production Select Industry
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| Amount: | $120,257,620
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| Maturity: | Feb. 24, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index finishes above step-up value, par plus index return; if index stays flat or gains but finishes at or below step-up value, par plus 30%; par for losses up to 5%; exposure to losses beyond 5%
|
| Call: | Automatically at par plus call premium of 15.1% if the index closes at or above initial level on March 4, 2016
|
| Initial index level: | 7,785.85
|
| Step-up value: | 10,121.61, 130% of initial value
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| Threshold value: | 7,396.56, 95% of initial value
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22539W772
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