Published on 6/10/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.93 million absolute return barrier notes tied to two indexes
By Susanna Moon
Chicago, June 10 – Credit Suisse AG, London Branch priced $1.93 million of 0% absolute return barrier securities due June 3, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above the initial level, the payout at maturity will be par plus 145% of the gain of the worse performing index.
If each index finishes above the 70% knock-in level, the payout will be par plus the absolute value of the worse performing index.
Otherwise, investors will be fully exposed to the losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Absolute return barrier securities
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1,927,000
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Maturity: | June 3, 2020
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each index gains, par plus 145% of return of worse performing index; if each index finishes above the 70% knock-in level, par plus the absolute value of worse performing index; otherwise, full exposure to any losses of worse performing index
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Initial index levels: | 2,096.96 for S&P and 1,154.792 for Russell
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Knock-in level: | 1,467.872 for S&P and 808.3544 for Russell; 70% of initial levels
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Pricing date: | May 31
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Settlement date: | June 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2%
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Cusip: | 22548Q4T9
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