Published on 12/6/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $468,000 absolute return digital barrier notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Dec. 6 – Credit Suisse AG, London Branch priced $468,000 of 0% absolute return digital barrier securities due Dec. 5, 2022 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 lesser-performing index finishes at or above its initial level, the payout at maturity will be par plus 40%.
If the lesser-performing index finishes below its initial level but each index finishes above its knock-in level, 60% of its initial level, the payout will be par plus the absolute value of the return of the lesser-performing index.
If the lesser-performing index finishes below its initial level and either index finishes at or below its knock-in level, investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return digital barrier securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $468,000
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| Maturity: | Dec. 5, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If lesser-performing index finishes at or above initial level, par plus 40%; if lesser-performing index finishes below initial level but each index finishes above knock-in level, par plus absolute value of return of lesser-performing index; otherwise, full exposure to decline of lesser-performing index
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| Initial index levels: | 2,647.58 for S&P, 1,544.141 for Russell
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| Knock-in levels: | 1,588.548 for S&P, 926.4846 for Russell; 60% of initial levels
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 5
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.075%
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| Cusip: | 22550BND1
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