Published on 8/13/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.07 million absolute return barrier notes on three indexes
By Susanna Moon
Chicago, Aug. 13 – Credit Suisse AG, London Branch priced $1.07 million of 0% absolute return barrier securities due Aug. 13, 2019 linked to the S&P 500 index, Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if any index finishes at or below its knock-in level, 65% of its initial level.
If each index finishes at or above its initial level, the payout at maturity will be par plus 182.5% of gain of the worst performing index, up to a maximum payment of $1,349.99 for each $1,000 principal amount.
If any index falls but a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worst performing index.
Otherwise, investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return barrier securities
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| Underlying indexes: | S&P 500, Russell 2000, Dow Jones industrial average
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| Amount: | $1,074,000
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| Maturity: | Aug. 13, 2019
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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 182.5% of return of worst performing index, capped at 34.999%; if each index finishes at or above knock-in level, par plus absolute return of worst performing index; otherwise, full exposure to any losses of worst performing index
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| Initial levels: | 1,931.59 for S&P, 1,131.35 for Russell, 16,553.93 for Dow
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| Knock-in levels: | 1,131.35 for Russell, 735.378 for Russell, 10,760.055 for Dow; 65% of initial levels
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| Pricing date: | Aug. 8
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| Settlement date: | Aug. 13
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22547QRY4
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