Published on 8/2/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.06 million digital plus barrier notes linked to S&P 500, Russell 2000
By Wendy Van Sickle
Columbus, Ohio, Aug. 2 – Credit Suisse AG, London Branch priced $1.06 million of 0% digital plus barrier notes due July 29, 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 lesser-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the greater of the lesser-performing index’s return and 45%.
If the final level of the lesser-performing index is less than its initial level but greater than the knock-in level, 50% of its initial level, the payout will be par.
If the final level of the lesser-performing index is less than or equal to its knock-in level, investors will be exposed to the decline of the lesser-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Digital plus barrier notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1,058,000
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Maturity: | July 29, 2021
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final level of lesser-performing index is greater than or equal to initial level, par plus greater of lesser-performing index’s return and 45%; if final level of lesser-performing index is less than initial level but greater than knock-in level, par; if final level of lesser-performing index is less than or equal to knock-in level, exposure to decline of lesser-performing index from initial level
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Initial index levels: | 2,169.18 for S&P and 1,216.859 for Russell
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Knock-in level: | 1,084.59 for S&P and 608.4295 for Russell; 50% of initial levels
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Pricing date: | July 26
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Settlement date: | July 29
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.6%
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Cusip: | 22548QBM6
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