Published on 11/17/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.03 million absolute return barrier notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, Nov. 17 – Credit Suisse AG, London Branch priced $3.03 million of 0% absolute return barrier securities due Nov. 22, 2019 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 150% of the return of the lowest-performing index, subject to a cap of 30.25%.
If the final level of the lowest-performing index is less than its initial level and each index finishes above its knock-in level, 66.5% 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
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $3,033,000
|
| Maturity: | Nov. 22, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of lowest-performing index is greater than or equal initial level, par plus 1.5 times return of lowest-performing index, capped at 30.25%; 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 levels: | 2,180.39 for the S&P 500, 1,449.95935 for the Russell 2000
|
| Knock-in levels: | 1,302.144 for the S&P 500, 865.92576 for the Russell 2000; 66.5% of initial levels
|
| Pricing date: | Nov. 15
|
| Settlement date: | Nov. 22
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.7%
|
| Cusip: | 22548QNM3
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
