Published on 5/2/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.9 million absolute return barrier notes on S&P 500, Russell
By Marisa Wong
Madison, Wis., May 2 - Credit Suisse AG, London Branch priced $3.9 million of 0% absolute return barrier securities due May 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 worst-performing index finishes at or above its initial level, the payout at maturity will be par plus 112.5% of 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 55% 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
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Issue: | Absolute return barrier securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $3,896,000
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Maturity: | May 3, 2019
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 112.5% of gain of worst-performing index if return is positive; if worst-performing index finishes below the initial level but above 55% 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
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Initial levels: | 1,883.95 for S&P, 1,126.86 for Russell
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Knock-in levels: | 1,036.1725 for S&P, 619.7730 for Russell; 55% of initial levels
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Pricing date: | April 30
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Settlement date: | May 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.05%
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Cusip: | 22547QLG9
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