Published on 9/21/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.21 million autocallable securities on iShares MSCI ETFs
By Wendy Van Sickle
Columbus, Ohio, Sept. 21 – Credit Suisse AG, London Branch, priced $1.21 million of 0% autocallable securities due Sept. 21, 2020 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 8% a year if each fund closes at or above its initial level on either of two annual observation dates.
If the return of the lesser performing fund is at least equal to its initial level, the payout at maturity will be par plus 24%. If the lesser performing fund falls, but not below the 70% knock-in level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the laggard fund.
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 ETFs: | iShares MSCI EAFE and iShares MSCI Emerging Markets
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| Amount: | $1.21 million
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| Maturity: | Sept. 21, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If return of each fund is at least equal to initial level, par plus 24%, if laggard fund falls by up to 30%, par; otherwise, investors will lose 1% for each 1% decline of lesser performing fund
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| Call: | At par plus 8% per year if each fund closes at or above initial level either of two annual observation dates
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| Initial prices: | $68.06 for EAFE, $45.59 for Emerging Markets
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| Knock-in levels: | $47.642 for EAFE, $31.913 for Emerging Markets, 70% of initial level
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 20
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| Agents: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.2%
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| Cusip: | 22550BHL0
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