Published on 6/29/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.61 million absolute return digital barrier notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, June 29 – Credit Suisse AG, London Branch priced $2.61 million of 0% absolute return barrier securities due June 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 37.75%.
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
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,606,000
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| Maturity: | June 28, 2021
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If final level of lowest-performing index is greater than or equal initial level, par plus 37.75%; 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: | 2,438.30 for S&P 500 and 1,414.778 for Russell 2000
|
| Knock-in levels: | 1,706.81 for S&P 500 and 990.3446 for Russell 2000; 70% of initial levels
|
| Pricing date: | June 23
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| Settlement date: | June 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.6%
|
| Cusip: | 22550B7F4
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