Published on 2/4/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.49 million absolute return barrier notes tied to S&P 500, Russell
By Toni Weeks
San Luis Obispo, Calif., Feb. 4 - Credit Suisse AG, London Branch priced $2.49 million of 0% absolute return barrier securities due Feb. 2, 2018 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 worst-performing index finishes at or above its initial level, the payout at maturity will be par plus the return of the worst-performing index.
If the final level of the worst-performing index is below the initial level but closes above the 60% knock-in level, the payout will be par plus the absolute value of the return of the worst-performing index.
If the worst-performing index falls to or below the knock-in level, investors will be fully exposed to losses of the worst-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $2,488,000
|
| Maturity: | Feb. 2, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus gain of worst-performing index if return is positive; if worst-performing index finishes below the initial level but above 60% knock-in level, par plus absolute value of return of worst-performing index; if worst-performing index finishes at or below the knock-in level, full exposure to decline in worst-performing index
|
| Initial levels: | 1,794.19 for S&P, 1,139.36 for Russell
|
| Knock-in levels: | 1,076.514 for S&P, 683.616 for Russell; 60% of initial levels
|
| Pricing date: | Jan. 30
|
| Settlement date: | Feb. 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.55%
|
| Cusip: | 22547QFX9
|
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