By Susanna Moon
Chicago, Nov. 6 – Credit Suisse AG, London Branch priced $914,000 of 0% absolute return barrier securities due Nov. 4, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the index finishes at or below its knock-in level, 60% of the initial level.
If each index finishes at or above the initial level, the payout at maturity will be par plus 110% of the return of the worse performing index.
If either index falls but a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worse performing index, up to a maximum amount of $1,399.99 for each $1,000 principal amount.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return barrier securities
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| Underlyings: | S&P 500 index and Russell 2000 index
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| Amount: | $914,000
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| Maturity: | Nov. 4, 2019
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus 110% of return of the worse performing index; if either index falls by up to knock-in level, par plus absolute value of return of the worse performing index, capped at 39.999%; otherwise, full exposure to losses of the worse performing index
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| Initial levels: | 2,079.36 for S&P, 1,161.863 for Russell
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| Knock-in levels: | 60% of initial levels
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| Pricing date: | Oct. 30
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| Settlement date: | Nov. 4
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22546VMT0
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