Published on 8/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $657,000 accelerated barrier notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Aug. 5 – Credit Suisse AG, London Branch priced $657,000 of 0% accelerated barrier notes due Aug. 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 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 140% 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
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| Issue: | Accelerated barrier notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $657,000
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| Maturity: | Aug. 3, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If lesser-performing index finishes at or above initial level, par plus 140% 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
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| Knock-in event: | Either index finishes at or below its knock-in level
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| Initial index levels: | 2,173.60 for S&P 500 and 1,219.942 for Russell 2000
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| Knock-in level: | 1,086.80 for Russell 2000 and 609.971 for S&P 500; 50% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22548QBU8
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