Published on 6/5/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $642,000 absolute return digital barrier notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, June 5 – Credit Suisse AG, London Branch priced $642,000 of 0% absolute return barrier securities due May 31, 2022 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 35%.
If the final level of the lowest-performing index is less than its initial level and each index finishes above its knock-in level, 60% 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
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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: | $642,000
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Maturity: | May 31, 2022
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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 35%; 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
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Initial index levels: | 2,415.07 for S&P 500 and 1,383.388 for Russell 2000
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Knock-in levels: | 1,736.496 for S&P 500 and 830.0328 for Russell 2000; 60% of initial levels
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Pricing date: | May 25
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Settlement date: | May 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.6%
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Cusip: | 22550B2R3
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