Published on 9/3/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.25 million absolute return barrier notes on two indexes
By Marisa Wong
Madison, Wis., Sept. 3 – Credit Suisse AG, London Branch priced $1.25 million of 0% absolute return barrier securities due Sept. 4, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 107% of that index’s return.
If the final level of the lowest-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of that index’s return. A knock-in event will occur if the final level of either index is less than or equal to its knock-in level, 55% of its initial level.
If a knock-in event has occurred, investors will be fully exposed to the decline of the lowest-performing index from its initial level to its final level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,246,000
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| Maturity: | Sept. 4, 2019
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If final level of lowest-performing index is greater than or equal to initial level, par plus 107% of that index’s return; if final level of lowest-performing index is less than initial level and knock-in event has not occurred, par plus absolute value of that index’s return; if knock-in event has occurred, full exposure to decline of lowest-performing index from initial level
|
| Knock-in event: | Either index finishes at or below knock-in level
|
| Initial index levels: | 2,003.37 for S&P 500 and 1,174.35 for Russell 2000
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| Knock-in levels: | 1,101.8535 for S&P 500 and 645.8925 for Russell 2000, 55% of initial levels
|
| Pricing date: | Aug. 29
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| Settlement date: | Sept. 4
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| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.55%
|
| Cusip: | 22547QRH1
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