Published on 5/18/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $735,000 autocallable securities on Stoxx, Russell, ETF
By Wendy Van Sickle
Columbus, Ohio, May 18 – Credit Suisse AG, London Branch, priced $735,000 of 0% autocallable securities due Feb. 18, 2021 linked to the lowest performing of the Euro Stoxx 50 index, the Russell 2000 index and the Financial Select Sector SPDR exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a redemption premium of 8% per year if the price of each underlying is at or above its initial level on a quarterly observation date.
If the notes are not called and the final level of the worst performing underlying is greater than its initial level, the payout at maturity will be par plus the contingent maximum return of 30%.
If one or more underlyings fall but none drops below its knock-in level of 70% of its initial value then the payout at maturity will be par plus the contingent minimum return of 10%.
Otherwise, investors will be fully exposed to the decline of the least-performing underlying.
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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| Underlyings: | Euro Stoxx 50, Russell 2000, Financial Select Sector SPDR exchange-traded fund
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| Amount: | $735,000
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| Maturity: | Feb. 18, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% if each underlying finishes above 70% knock-in level; otherwise, investors will be fully exposed to any decline of the least performing asset
|
| Call: | Automatically at par plus annualized redemption premium of 8% if each underlying closes at or above its initial level on any quarterly observation date
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| Initial levels: | 1,393.923 for Russell, 3,641.88 for Stoxx, $23.74 for ETF
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| Knock-in levels: | 975.7461 for Russell, 2,549.316 for Stoxx, $16.618 for ETF; 70% of initial levels
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| Pricing date: | May 15
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| Settlement date: | May 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.95%
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| Cusip: | 22550B4E0
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