By Wendy Van Sickle
Columbus, Ohio, Sept. 26 – Credit Suisse AG, London Branch priced $1.75 million of 0% autocallable securities due Sept. 26, 2023 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 10.65% per year if the closing level of each asset is greater than or equal to its trigger level on any semiannual call date after one year. The trigger level will be equal to 100% of the initial level on the first call date and will step down by 1.5% on each subsequent date.
If each asset finishes at or above its 88% threshold level, the payout at maturity will be $1,532.50 per $1,000 of notes.
Investors will receive 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, 60% 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: | $1.75 million
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| Maturity: | Sept. 26, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 53.25% if each asset finishes above threshold level; par plus 10% if either asset finishes below threshold level, but each asset finishes at or above knock-in level; otherwise, investors will be fully exposed to any decline of the least performing asset
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| Call: | After one year, automatically at par plus annualized premium of 10.65% if each asset closes at or above trigger level on any semiannual call date; trigger level will be equal to 100% of the initial level on first call date and will step down by 1.5% on each subsequent date
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| Initial levels: | 3,430.81 for Stoxx and $43.23 for ETF
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| Threshold levels: | 3,019.1128 for Stoxx and $38.0424 for ETF; 88% of initial levels
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| Knock-in levels: | 2,058.486 for Stoxx and $25.938 for ETF; 60% of initial levels
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| Pricing date: | Sept. 21
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| Settlement date: | Sept. 26
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22551LBU3
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