Published on 8/3/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.03 million accelerated barrier notes linked to ETFs
By Angela McDaniels
Tacoma, Wash., Aug. 3 – Credit Suisse AG, London Branch priced $1.03 million of 0% accelerated barrier notes due June 3, 2019 linked to a basket consisting of the SPDR S&P 500 ETF trust with a 56% weight, the iShares MSCI EAFE exchange-traded fund with a 30% weight and the iShares Russell 2000 exchange-traded fund with a 14% weight, according to a 424B2 filing with the Securities and Exchange Commission.
If the final basket level is greater than or equal to the initial basket level, the payout at maturity will be par plus 150% of the basket return, subject to a maximum return of 34%.
If the basket finishes below its initial level and a knock-in event does not occur, the payout will be par. A knock-in event occurs if the basket finishes at or below its knock-in level, 70% of its initial level.
If a knock-in event occurs, investors will be fully exposed to the basket’s decline.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Accelerated barrier notes
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| Underlying ETFs | : | SPDR S&P 500 ETF trust (56% weight), iShares MSCI EAFE ETF (30% weight) and iShares Russell 2000 ETF (14% weight)
|
| Amount: | $1,026,000
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| Maturity: | June 3, 2019
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If basket finishes at or above initial level, par plus 150% of basket return, up to 34% maximum return; if basket finishes below initial level and knock-in event does not occur, par; if knock-in event occurs, full exposure to basket’s decline
|
| Knock-in event: | Basket finishes at or below knock-in level
|
| Initial share prices: | $217.15 for S&P ETF, $58.02 for MSCI EAFE ETF and $121.09 for Russell 2000 ETF
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| Knock-in level: | 70% of initial basket level
|
| Pricing date: | July 29
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| Settlement date: | Aug. 3
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22548QDR3
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