By Wendy Van Sickle
Columbus, Ohio, Nov. 26 – Credit Suisse AG, London Branch priced $6.35 million of 0% autocallable securities due Nov. 29, 2024 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Credit Suisse will call the notes at par of $1,000 plus a call premium of 9.3% per year if the closing level of each asset is greater than or equal to its trigger level on any semiannual call date after two years.
The trigger level will be equal to 97% of the initial level on the first call date and will step down by 150 basis points on each subsequent call date.
If each asset finishes at or above 88% of its initial level, the payout at maturity will be $1,465 per $1,000 of notes.
Investors will receive par plus 10% if the final level of any asset is less than its 88% threshold level but each asset finishes at or above the knock-in level, 70% of its initial level.
Otherwise, investors will lose 1% for each 1% decline of the worst performing asset from its initial level.
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 assets: | Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $6.35 million
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| Maturity: | Nov. 29, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each asset finishes at or above threshold level, $1,465 per $1,000 of notes; par plus 10% if the final level of any asset is less than its threshold level but each asset finishes at or above the knock-in level; otherwise, investors will lose 1% for each 1% decline of the worst performing asset from its initial level
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| Call: | After two years, automatically at par plus annualized premium of 9.3% if each asset closes at or above trigger level on any semiannual call date; trigger level will be equal to 97% of initial level on first observation date and step down by 150 bps on each subsequent date
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| Initial levels: | 3,679.66 for Stoxx and $42.87 for ETF
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| Knock-in levels: | 3,238.1008 for Stoxx and $37.7256 for ETF; 88% of initial levels
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| Knock-in levels: | 2,575.762 for Stoxx and $30.009 for ETF; 70% of initial levels
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| Pricing date: | Nov. 21
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| Settlement date: | Nov. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22551LLF5
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