Published on 10/3/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $684,000 absolute return barrier notes linked to indexes
By Angela McDaniels
Tacoma, Wash., Oct. 2 – Credit Suisse AG, London Branch priced $684,000 of 0% absolute return barrier securities due Oct. 3, 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 107.5% 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-out 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
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Issue: | Absolute return barrier securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $684,000
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Maturity: | Oct. 3, 2019
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Coupon: | 0%
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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 107.5% 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-out event has occurred, full exposure to decline of lowest-performing index from initial level
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Knock-out event | : | Either index finishes at or below knock-in level
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Initial index levels: | 1,972.290 for S&P 500 and 1,101.676 for Russell 2000
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Knock-in levels: | 1,084. 760 for S&P 500 and 605.922 Russell 2000; 55% of initial levels
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Pricing date: | Sept. 30
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Settlement date: | Oct. 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.55%Cusip: | 22547QSQ0
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