Published on 11/21/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $438,000 absolute return barrier notes on index, ETF
By Wendy Van Sickle
Columbus, Ohio, Nov. 21 – Credit Suisse AG, London Branch priced $438,000 of 0% absolute return barrier securities due May 21, 2020 linked to the iShares MSCI Emerging Markets ETF and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the lowest-performing asset is greater than or equal to its initial level, the payout at maturity will be par plus 200% of the return of the lowest-performing asset up to a maximum return of 40%.
If the final level of the lowest-performing asset is less than its initial level and each asset finishes above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing asset.
If either asset finishes at or below its knock-in level, investors will be fully exposed to the decline of the lowest-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
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| Underlying assets: | Euro Stoxx 50 and iShares MSCI Emerging Markets ETF
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| Amount: | $438,000
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| Maturity: | May 21, 2020
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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 asset is greater than or equal initial level, par plus 200% of return of lowest-performing asset, up to 40% maximum return; if final level of lowest-performing asset is less than its initial level and each asset finishes above knock-in level, par plus absolute value of return of lowest-performing asset; if either asset finishes at or below its knock-in level, full exposure to decline of lowest-performing asset
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| Initial index levels: | 3,564.8 for Stoxx and $46.59 for ETF
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| Knock-in levels: | 2,495.36 for Stoxx and $32.613 for ETF, 70% of initial levels
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| Pricing date: | Nov. 16
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| Settlement date: | Nov. 21
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.75%
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| Cusip: | 22550BPT4
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