By Angela McDaniels
Tacoma, Wash., Oct. 15 – Credit Suisse AG, London Branch priced $2.66 million of 0% capped buffered variable participation notes due Sept. 29, 2020 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 lesser-performing index is greater than or equal to 130% of its initial level, the payout at maturity will be par plus 64.5%.
If the final level of the lesser-performing index is greater than or equal to 115% but less than 130% of its initial level, the payout at maturity will be 115% of par plus 330% of the amount by which the lesser-performing index’s return exceeds 15%.
If the final level of the lesser-performing index is greater than or equal to 105% but less than 115% of its initial level, the payout at maturity will be par plus the return of the lesser-performing index.
If the final level of the lesser-performing index is greater than or equal to 90% but less than 105% of its initial level, the payout will be par plus 33% of the amount by which the lesser-performing index’s final level is greater than 90% of its initial level.
If the final level of the lesser-performing index is less than its initial level by more than 10% but not more than 30%, the payout will be par.
If the final level of the lesser-performing index is less than its initial level by more than 30%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 30%.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Capped buffered variable participation notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,661,000
|
| Maturity: | Sept. 29, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of lesser-performing index is greater than or equal to 115% of initial level, 115% of par plus 330% of amount by which lesser-performing index’s return exceeds 15%, subject to 64.5% maximum return; if final level of lesser-performing index is greater than or equal to 105% but less than 115% of initial level, par plus return of lesser-performing index; if final level of lesser-performing index is greater than or equal to 90% but less than 105% of initial level, par plus 33% of amount by which lesser-performing index’s final level is greater than 90% of initial level; if final level of lesser-performing index is less than initial level by more than 10% but not more than 30%, par; otherwise, 1% loss for every 1% that lesser-performing index declines beyond 30%
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| Initial index levels: | 2,003.69 for S&P 500 and 1,147.84 for Russell 2000
|
| Pricing date: | Oct. 13
|
| Settlement date: | Oct. 19
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.54%
|
| Cusip: | 22546VNV4
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