Published on 9/26/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $572,000 absolute return digital barrier notes on S&P, Russell
By Sarah Lizee
Olympia, Wash., Sept. 26 – Credit Suisse AG, London Branch priced $572,000 of 0% absolute return digital plus barrier securities due Sept. 29, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above its initial level, the payout at maturity will be par plus the greater of the index return of the worse performing index and the fixed return of 32.5%.
If each index finishes at or above the 80% knock-in level, the payout will be par plus the absolute value of the return of worse performing index.
Otherwise, investors will be fully exposed to any decline in the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Absolute return digital plus barrier securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $572,000
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Maturity: | Sept. 29, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each index gains, par plus greater of the return of the worse performing index and 32.5%; if each index finishes at or above knock-in level, par plus absolute return of worse performing index; otherwise, 1% loss per 1% decline of worse performing index
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Initial levels: | 2,919.37 for S&P and 1,705.318 for Russell
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Knock-in levels: | 2,335.496 for S&P and 1,364.2544 for Russell; 80% of initial levels
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Pricing date: | Sept. 24
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Settlement date: | Sept. 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.6%
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Cusip: | 22551LB25
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