Published on 4/18/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $541,000 digital plus barrier notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, April 18 – Credit Suisse AG, London Branch priced $541,000 of 0% digital plus barrier notes due Oct. 16, 2019 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 each index is greater than or equal to its initial level but less than the upside threshold level, 125% of its initial level, the payout at maturity will be par plus the fixed payment percentage of 25%. If the final level of the lesser performing index exceeds the upside threshold level, investors will receive par plus the fixed return, plus 1.31% for each 1% gain of the lesser-performing index beyond the upside threshold level.
If either index falls but both finish above the knock-in level, 75% of the initial index level, the payout will be par.
If either index falls to or below the knock-in level, investors will be fully exposed to the lesser performing index’s decline 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: | $541,000
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| Maturity: | Oct. 16, 2019
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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 but less than upside threshold level, par plus fixed return of 25%; if return of less-performing index exceeds upside threshold, par plus fixed return plus 1.31% gain for every 1% gain of laggard index beyond upside threshold; if either index falls but both finish above knock-in level, par; if either index finishes at or below knock-in level, full exposure to decline of lesser-performing index
|
| Initial levels: | 13867.085 for Russell, 2,357.16 for S&P
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| Knock-in levels: | 1,025.31375 for Russell, 1,767.87 for S&P; 75% of initial levels
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| Upside threshold levels: | 1,708.85625 for Russell, 2,946.45 for S&P; 125% of initial levels
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| Pricing date: | April 10
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| Settlement date: | April 13
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.5%
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| Cusip: | 22548QZN8
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