By Angela McDaniels
Tacoma, Wash., June 6 – Credit Suisse AG, London Branch priced $2 million of 0% digital barrier notes due June 4, 2021 linked to the Russell 2000 index and 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 level of either index is less than its knock-in level, 60% of its level.
The payout at maturity will be par plus the underlying return of the lowest-performing index.
If an index’s final level is greater than or equal to its return barrier, 80% of its initial level, its underlying return will be 69.2%.
If an index’s final level is less than its return barrier and a knock-in event has not occurred, the underlying return for that index will be zero.
If an index’s final level is less than its return barrier and a knock-in event occurs, the underlying return of that index will be equal to its return.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Digital barrier notes
|
| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $2 million
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| Maturity: | June 4, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus underlying return of lowest-performing index
|
| Underlying return: | If index’s final level is greater than or equal to return barrier, 69.2%; if index’s final level is less than return barrier and knock-in event has not occurred, zero; if index’s final level is less than return barrier and knock-in event occurs, that index’s underlying return will equal its return
|
| Knock-in event: | Final level of either index is less than knock-in level
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| Initial index levels: | 1,924.24 for S&P 500 and 1,126.15 for Russell 2000
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| Return barriers: | 1,539.39 for S&P 500 and 900.92 for Russell 2000; 80% of initial levels
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| Knock-in levels: | 1,154.54 for S&P 500 and 675.69 for Russell 2000; 60% of initial levels
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| Pricing date: | June 3
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| Settlement date: | June 10
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.89%
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| Cusip: | 22547QNS1
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