Published on 9/13/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $19.73 million market-linked step-up autocallables on index basket
By Wendy Van Sickle
Columbus, Ohio, Sept. 13 – Credit Suisse AG, London Branch priced $19.73 million of 0% autocallable market-linked step-up notes due Aug. 27, 2021 linked to an international equity index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei 225 index with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the Hang Seng China Enterprises index with an initial weight of 5%.
If the basket closes at or above its initial level on an annual observation date, the notes will be called at par plus a premium of 13.2% per year.
If the basket finishes above its step-up level – 130% of the initial level – the payout at maturity will be par plus the gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up return of 30%.
Investors will be exposed to any basket decline.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying basket: | Euro Stoxx 50 index with an initial weight of 40%, FTSE 100 index with an initial weight of 20%, Nikkei 225 index with an initial weight of 20%, Swiss Market index with an initial weight of 7.5%, S&P/ASX 200 index with an initial weight of 7.5% and Hang Seng China Enterprises index with an initial weight of 5%
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| Amount: | $19,728,190
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| Maturity: | Aug. 27, 2021
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| Coupon: | 0%
|
| Price: | Par of $10
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| Payout at maturity: | If basket finishes at or above the step-up level, par plus gain; if basket gains by up to step-up level, par plus 30%; full exposure to declines
|
| Call: | At par plus 13.2% per year if basket closes at or above its initial level on an annual observation date
|
| Initial index levels: | 3,430.99 for Euro Stoxx, 7,516.03 for FTSE, 22,869.5 for Nikkei, 9,042.06 for Swiss, 6,351.762 for S&P/ASX, 28,164.05 for Hang Seng
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| Step-up level: | 150% of initial basket level
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| Pricing date: | Aug. 30
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| Settlement date: | Sept. 10
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 22548Y553
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