Published on 10/31/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.21 million autocallable securities on Stoxx, Russell 2000
By Wendy Van Sickle
Columbus, Ohio, Oct. 31 – Credit Suisse AG, London Branch priced $2.21 million of 0% autocallable securities due Oct. 31, 2020 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 12% if each underlying index closes at or above its initial level on the first annual review date or 95% of its initial level on the second annual review date.
At maturity, if each index finishes above its 90% threshold level, investors will receive par plus 33.6%.
If either index finishes below its threshold level, the payout at maturity will be par unless either index finishes below its 70% threshold level, in which case investors will lose 1% for each 1% decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | Euro Stoxx 50, Russell 2000
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| Amount: | $2,205,000
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| Maturity: | Oct. 31, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 33.6% if each index finishes above threshold level; par if the lesser performing index falls below threshold but not below the knock-in level; otherwise, investors will be fully exposed to any decline of the lesser performing index
|
| Call: | Automatically at par plus annualized redemption premium of 12% if each underlying closes at or above its initial level on first annual review date and 95% of initial level on second annual review date
|
| Initial index levels: | 3,637.20 for Stoxx, 1,497.459 for Russell
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| Threshold levels: | 2,273.48 for Stoxx and 1,347.7131 for Russell, 90% of initial levels
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| Knock-in levels: | 2,546.04 for Stoxx and 1,048.2213 for Russell, 70% of initial levels
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22550BKY8
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