By Toni Weeks
San Luis Obispo, Calif., July 28 – Credit Suisse AG, London Branch priced $1.1 million of 0% absolute return barrier securities due Aug. 2, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if the final index level is less than or equal to the knock-in level, 70% of the initial level.
If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 120% of the index return.
If the final index level is less than the initial index level and a knock-in event has not occurred, the payout will be par plus the absolute value of the index return.
If the final level is less than the initial index level and a knock-in event has occurred, investors will be fully exposed to the decline from the initial index level to the final index level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying index: | S&P 500
|
| Amount: | $1,103,000
|
| Maturity: | Aug. 2, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is positive or zero, par plus 120% of index return; if index return is negative and knock-in event has not occurred, par plus absolute value of index return; if index return is negative and knock-in event has occurred, full exposure to decline in index
|
| Knock-in event: | Final index level is less than or equal to knock-in level
|
| Initial index level: | 2,079.65
|
| Knock-in level: | 1,455.755, 70% of initial level
|
| Pricing date: | July 24
|
| Settlement date: | July 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.8%
|
| Cusip: | 22546VG75
|
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