Published on 9/8/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $528,000 digital plus barrier notes on S&P, Russell
By Tali Rackner
Norfolk, Va., Sept. 8 – Credit Suisse AG, London Branch priced $528,000 of 0% digital plus barrier notes due Sept. 3, 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 final level of the lesser-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the greater of the lesser-performing index’s return and 57%.
If the final level of the lesser-performing index is less than its initial level but greater than the knock-in level, 50% of its initial level, the payout will be par.
If the final level of the lesser-performing index is less than or equal to its knock-in level, investors will be exposed to the decline of the lesser-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Digital plus barrier notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $528,000
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| Maturity: | Sept. 3, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of lesser-performing index is greater than or equal to initial level, par plus greater of lesser-performing index’s return and 57%; if final level of lesser-performing index is less than initial level but greater than knock-in level, par; if final level of lesser-performing index is less than or equal to knock-in level, exposure to decline of lesser-performing index from initial level
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| Initial levels: | 2,170.9504 for S&P 500, 1,239.907 for Russell 2000
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| Knock-in levels: | 1,085.475 for S&P 500, 619.95 for Russell 2000; 50% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 6
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22548QDC6
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