Published on 3/28/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.21 million absolute return barrier notes linked to S&P 500, Russell 2000
By Angela McDaniels
Tacoma, Wash., March 28 - Credit Suisse AG, London Branch priced $1.21 million of 0% absolute return barrier securities due March 29, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either index finishes at or below its knock-in level, 60% of its initial level.
If the worst-performing index finishes at or above its initial level, the payout at maturity will be par plus 108% of the return of the worst-performing index.
If the worst-performing index finishes below its initial level and a knock-in event does not occur, the payout will be par plus the absolute value of the return of the worst-performing index.
If the worst-performing index finishes below its initial level and a knock-in event does occur, investors will have full exposure to the decline of worst-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $1,214,000
|
| Maturity: | March 29, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst-performing index finishes at or above initial level, par plus 108% of return of worst-performing index; if worst-performing index finishes below initial level and knock-in event does not occur, par plus absolute value of return of worst-performing index; if worst-performing index finishes below initial level and knock-in event does occur, full exposure to decline of worst-performing index
|
| Knock-in event: | Either index finishes at or below knock-in level
|
| Initial index levels: | 1,852.56 for S&P 500 and 1,155.49 for Russell 2000
|
| Knock-in levels: | 1,111.536 for S&P 500 and 693.294 for Russell 2000, 60% of initial levels
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22547QJY3
|
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