New Issue: Credit Suisse prices $1 million absolute return digital barrier notes on indexes

By Wendy Van Sickle

Columbus, Ohio, Feb. 3 – Credit Suisse AG, London Branch priced $1 million of 0% absolute return digital barrier securities due Feb. 3, 2022 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above its initial level, the payout at maturity will be par plus 50%.

If either index falls but each index finishes above its knock-in level, 60% of its initial level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will be fully exposed to the decline of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return digital barrier securities
Underlying indexes:	S&P 500, Russell 2000
Amount:	$1,005,000
Maturity:	Feb. 3, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above initial level, par plus 50%; if either index falls but each index finishes above knock-in level, par plus absolute return of worse performing index; otherwise, full exposure to losses of worse performing index
Initial levels:	1,361.824 for Russell, 2,278.87 for S&P 500
Knock-in levels:	817.0944 for Russell, 1,367.322 for S&P; 60% of initial levels
Pricing date:	Jan. 31
Settlement date:	Feb. 3
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.7%
Cusip:	22548QRH0

© 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.