Published on 12/20/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.11 million autocallable securities on MSCI Emerging Markets, Russell
By Wendy Van Sickle
Columbus, Ohio, Dec. 20 – Credit Suisse AG, London Branch priced $4.11 million of 0% autocallable securities due Dec. 21, 2020 linked to the MSCI Emerging Markets 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 11% if each underlying index closes at or above its initial level on an annual review date.
At maturity, if each index finishes above its threshold level, 90% of its initial level, investors will receive par plus 33%.
If either index falls but not below its 70% knock-in level, the payout at maturity will be par; otherwise, 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
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| Issue: | Autocallable securities
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| Underlying indexes: | MSCI Emerging Markets, Russell 2000
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| Amount: | $4.11 million
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| Maturity: | Dec. 21, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 33% if each index finishes above 90% threshold level; par if the lesser performing index falls but not below the knock-in level; otherwise, investors will be fully exposed to any decline of the lesser performing index
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| Call: | Automatically at par plus annualized redemption premium of 11% if each underlying closes at or above its initial level on an annual review date
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| Initial index levels: | 1,118.50 for MSCI Emerging Markets, 1,530.425 for Russell
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| Threshold levels: | 1,071.2975 for MSCI Emerging Markets, 1,377.3825 for Russell, 90% of initial levels
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| Knock-in levels: | 782.95 for MSCI Emerging Markets, 782.95 for Russell, 70% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 20
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22550BT94
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