Published on 1/15/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.16 million absolute return barrier notes tied to S&P 500, Russell
By Jennifer Chiou
New York, Jan. 15 - Credit Suisse AG, London Branch priced $1,164,000 of 0% absolute return barrier securities due Jan. 17, 2017 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 worse-performing index finishes at or above its initial level, the payout at maturity will be par plus the return of the worse-performing index, capped at 15%.
If the final level of the worse-performing index is below the initial level but does not close at or below the 55.75% knock-in level on any day during the life of the notes, the payout will be par plus the absolute value of the return of the worse-performing index, up to a maximum return of $1,442.49 for every $1,000 principal amount of the notes.
If the worse-performing index falls and a knock-in event has occurred, investors will be fully exposed to losses of the worse-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, Russell 2000
|
| Amount: | $1,164,000
|
| Maturity: | Jan. 17, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus gain of worse-performing index if return is positive, subject to cap of 15%; if worse-performing index finishes down but does not close at or below knock-in level during life of notes, par plus absolute value of worse-performing index return, capped at 44.249%; otherwise, full exposure to losses of worse-performing index
|
| Initial levels: | 1,842.37 for S&P, 1,164.53 for Russell
|
| Knock-in levels: | 1,027.121275 for S&P, 649.225475 for Russell; 55.75% of initial levels
|
| Pricing date: | Jan. 10
|
| Settlement date: | Jan. 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22547QEZ5
|
© 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.
