By Marisa Wong
Morgantown, W.Va., Oct. 6 – Credit Suisse AG, London Branch priced $1.82 million 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 115% 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, 60% 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
|
| Issue: | Absolute return barrier securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1,819,000
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| Maturity: | Oct. 3, 2019
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| Coupon: | 0%
|
| 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 110% 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 to final level
|
| Knock-in event: | Final level of either index is less than or equal to knock-in level
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| Initial index levels: | 1,920.03 for S&P 500 and 1,100.688 for Russell 2000
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| Knock-in levels: | 1,152.018 for S&P 500 and 660.4128 for Russell 2000; 60% of initial level
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
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| Cusip: | 22546VL61
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