Published on 12/30/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.15 million cert plus securities on S&P 500, Russell 2000
By Jennifer Chiou
New York, Dec. 26 - Credit Suisse AG, London Branch priced $1,151,000 of 0% cert plus securities due Dec. 26, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the underlying return of the worst-performing index.
If an index's final level is greater than or equal to its initial level, its underlying return will be 124% of its return.
If an index's final level is less than its initial level and a knock-in event has occurred, its underlying return will be equal to its return. A knock-in event occurs if either index finishes at or below its knock-in level, 60% of its initial level.
If an index's final level is less than its initial level and a knock-in event has not occurred, its underlying return will be zero.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Cert plus securities
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1,151,000
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Maturity: | Dec. 26, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus underlying return of worst-performing index
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Underlying return: | If index's final level is greater than or equal to initial level, 124% of its return; if index's final level is less than initial level and knock-in event has occurred, 100% of its return; if index's final level is less than initial level and knock-in event has not occurred, zero
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Knock-in event: | Either index's final level is less than or equal to its knock-in level
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Initial index levels: | 1,818.32 for S&P 500 and 1,146.47 for Russell 2000
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Knock-in levels: | 1,090.992 for S&P 500 and 687.882 for Russell 2000, 60% of initial levels
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Pricing date: | Dec. 20
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Settlement date: | Dec. 26
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.05%
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Cusip: | 22547QDY9
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