Published on 5/6/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.26 million accelerated barrier notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., May 6 – Credit Suisse AG, London Branch priced $1.26 million of 0% accelerated barrier notes due May 4, 2021 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the lesser-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 166.5% of the return of that index.
If the lesser-performing index finishes below its initial level and a knock-in event does not occur, the payout will be par. A knock-in event occurs if either index finishes at or below its knock-in level, 50% of its initial level.
If the lesser-performing index finishes below its initial level and a knock-in event occurs, investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Accelerated barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,258,000
|
| Maturity: | May 4, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If lesser-performing index finishes at or above initial level, par plus 166.5% of return of that index; if lesser-performing index finishes below initial level and knock-in event does not occur, par; if knock-in event occurs, full exposure to decline of lesser-performing index
|
| Knock-in event: | Either index finishes at or below its knock-in level
|
| Initial levels: | 2,065.30 for S&P 500 and 1,130.845 for Russell 2000
|
| Knock-in levels: | 1,032.65 for S&P 500 and 565.4225 for Russell 2000; 50% of initial levels
|
| Pricing date: | April 29
|
| Settlement date: | May 4
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.7%
|
| Cusip: | 22546VZR0
|
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