Published on 5/14/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.07 million accelerated barrier notes on S&P 500, Russell 2000
By Toni Weeks
San Luis Obispo, Calif., May 14 – Credit Suisse AG, London Branch priced $2,067,000 of 0% accelerated barrier notes due May 15, 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 least-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 172.5% of the return of that index.
If the least-performing index finishes below its initial level and a knock-in event does not occur, the payout will be par. A knock-in event occurs if either index finishes at or below its knock-in level, 70% of its initial level.
If the least-performing index finishes below its initial level and a knock-in event occurs, investors will be fully exposed to the decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Accelerated barrier notes
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $2,067,000
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Maturity: | May 15, 2020
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If least-performing index finishes at or above initial level, par plus 172.5% of return of that index; if least-performing index finishes below initial level and knock-in event does not occur, par; if least-performing index finishes below initial level and knock-in event occurs, full exposure to decline of least-performing index
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Knock-in event: | Either index finishes at or below its knock-in level
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Initial index levels: | 2,099.12 for S&P 500 and 1,233.129 for Russell 2000
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Knock-in levels: | 1,469.384 for S&P 500 and 863.1903 for Russell 2000, 70% of initial levels
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Pricing date: | May 12
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Settlement date: | May 15
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 0.8%
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Cusip: | 22546VCZ7
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