Published on 4/4/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.42 million absolute return barrier notes linked to two indexes
By Wendy Van Sickle
Columbus, Ohio, April 4 – Credit Suisse AG, London Branch priced $2.42 million of 0% absolute return barrier securities due April 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 160% of the gain of the worse performing index.
If each index finishes at or 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 loss 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: | $2,418,000
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Maturity: | April 3, 2020
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Coupon: | 0%
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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 160% of return of lowest-performing index; if final level of lowest-performing index is less than 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
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Initial index levels: | 1,114.028 for Russell 2000 and 2,059.74for S&P 500
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Knock-in level: | 1,441.818 for S&P 500 and 779.8196 for Russell 2000; 70% of initial levels
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Pricing date: | March 31
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Settlement date: | April 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2%
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Cusip: | 22546VXS0
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