Published on 1/30/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $835,000 autocallable securities on Russell, Stoxx
By Devika Patel
Knoxville, Tenn., Jan. 30 – Credit Suisse AG, London Branch priced $835,000 of 0% autocallable securities due Jan. 29, 2021 linked to the Russell 2000 index and the Euro Stoxx 50 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 11.1% if each underlying index closes at or above the threshold level, 90% of its initial level, on any annual review date.
If the notes are not called, the payout at maturity will be the contingent minimum return of 33.3% unless either underlying index finishes below its threshold level. Investors will receive par if either index finishes below the threshold level but both indexes finish above the knock-in level, 70% of its initial price. Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50
|
| Amount: | $835,000
|
| Maturity: | Jan. 29, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | 33.3% if neither index has finished below threshold level; par if either index finishes below threshold level, but both indexes remain above 70% knock-in level; otherwise, 1% loss for each 1% decline of the lesser performing index from its initial level
|
| Call: | Automatically at par plus annualized redemption premium of 11.1% if each underlying closes at or above its threshold level on any annual review date
|
| Initial levels: | 1,608.058 for Russell, 3,647.41 for Stoxx
|
| Knock-in levels: | 1,125.641 for Russell, 2,553.19 for Stoxx; 70% of initial levels
|
| Threshold levels: | 1,447.2522 for Russell, 3,282.669 for Stoxx; 90% of initial levels
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22550W5S2
|
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