Published on 10/3/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.73 million absolute return barrier notes linked to S&P 500
By Susanna Moon
Chicago, Oct. 3 – Credit Suisse AG, London Branch priced $1.73 million of 0% absolute return barrier securities due Sept. 28, 2021 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 index finishes at or above the initial level, the payout at maturity will be par plus 125% of the return up to an underlying return of 27.25%.
If the index falls by up to its 60% knock-in level, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
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 index: | S&P 500
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Amount: | $1,729,000
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Maturity: | Sept. 28, 2021
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Coupon: | 5.25% annualized, payable quarterly if each index closes at or above 60% coupon barrier on review date for that quarter
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Price: | Par
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Payout at maturity: | Par plus 125% of any index gain, capped at 27.25%; if index finishes above knock-in level, par plus absolute return; otherwise, 1% loss per 1% decline
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Initial level: | 2,929.67
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Trigger level: | 2,343.736, 60% of initial level
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Pricing date: | Sept. 21
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Settlement date: | Sept. 28
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.5%
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Cusip: | 22551LA91
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