By Toni Weeks
San Luis Obispo, Calif., Dec. 31 - Credit Suisse AG, London Branch priced $2.86 million of 0% cert plus securities due Jan. 2, 2018 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 132% of its return.
A knock-in event occurs if either index finishes at or below its knock-in level, 50% of its initial level. 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.
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
|
| Issue: | Cert plus securities
|
| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $2,858,000
|
| Maturity: | Jan. 2, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus underlying return of worst-performing index
|
| Underlying return: | If index's final level is greater than or equal to initial level, 132% 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
|
| Knock-in event: | Either index's final level is less than or equal to its knock-in level
|
| Initial levels: | 1,841.4 for S&P 500 and 1,161.09 for Russell 2000
|
| Knock-in levels: | 920.7 for S&P 500 and 580.545 for Russell 2000; 50% of initial levels
|
| Pricing date: | Dec. 27
|
| Settlement date: | Jan. 2
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.05%
|
| Cusip: | 22547QDM5
|
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