By Angela McDaniels
Tacoma, Wash., March 4 – Credit Suisse AG, London Branch priced $2.07 million of 0% absolute return barrier securities due May 4, 2020 linked to the Russell 2000 index and the S&P 500 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 151.5% of the return of the lowest-performing index.
If the final level of the lowest-performing index is less than its initial level and each index finishes above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index.
If either index finishes at or below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,069,000
|
| Maturity: | May 4, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of lowest-performing index is greater than or equal initial level, par plus return of lowest-performing index; if final level of lowest-performing index is less than its initial level and each index finishes above knock-in level, par plus absolute value of return of lowest-performing index; if either index finishes at or below its knock-in level, full exposure to decline of lowest-performing index
|
| Initial index levels: | 1,130.845 for Russell 2000 and 2,065.30 for S&P 500
|
| Knock-in level: | 791.5915 for Russell 2000 and 1,445.71 for S&P 500; 70% of initial levels
|
| Pricing date: | April 29
|
| Settlement date: | May 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546VZP4
|
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