Published on 5/31/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.12 million absolute return barrier notes linked to Russell, S&P
By Angela McDaniels
Tacoma, Wash., May 31 – Credit Suisse AG, London Branch priced $1.12 million of 0% absolute return barrier securities due May 28, 2021 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 150% of the return of the lowest-performing index.
If the final level of the lowest-performing index is less than its initial level and each index finishes above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index.
If either index finishes at or below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,124,000
|
| Maturity: | May 28, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of lowest-performing index is greater than or equal initial level, par plus 150% of return of lowest-performing index; if final level of lowest-performing index is less than its initial level and each index finishes above knock-in level, par plus absolute value of return of lowest-performing index; if either index finishes at or below its knock-in level, full exposure to decline of lowest-performing index
|
| Initial index levels: | 1,141.024 for Russell 2000 and 2,090.54 for S&P 500
|
| Knock-in level: | 798.7168 for Russell 2000 and 1,463.378 for S&P 500; 70% of initial levels
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.6%
|
| Cusip: | 22548Q4V4
|
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