By Marisa Wong
Madison, Wis., April 3 - Credit Suisse AG, Nassau Branch priced $2.86 million of 0% absolute return notes due April 4, 2014 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each index's return will be subject to a cap of 24%.
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 the return of the lowest-performing index.
If the final level of the lowest-performing index is less than its initial level but greater than or equal to its knock-in level, 70% of its initial level, the payout will be par plus the absolute value of the lowest-performing index's return.
If the final level of the lowest-performing index is less than or equal to its knock-in level, investors will be fully exposed to the decline of the lowest-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return notes
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $2,855,000
|
| Maturity: | April 4, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of lowest-performing index is greater than or equal to its initial level, par plus return of lowest-performing index; if final level of lowest-performing index is less than its initial level but greater than or equal to its knock-in level, par plus absolute value of lowest-performing index's return; otherwise, full exposure to decline of lowest-performing index from its initial level
|
| Initial levels: | 1,408.47 for S&P, 830.30 for Russell
|
| Knock-in levels: | 985.929 for S&P, 581.210 for Russell
|
| Pricing date: | March 30
|
| Settlement date: | April 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TNZ0
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
