By Susanna Moon
Chicago, Aug. 5 – Credit Suisse AG, London Branch priced $501,000 of 0% accelerated barrier notes due Aug. 3, 2017 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 either index finishes at or below its knock-in level, 75% of the initial level.
If each index finishes at or above the initial level, the payout at maturity will be par plus 122.5% 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.
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: | Accelerated barrier notes
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| Underlyings: | S&P 500 index and Russell 2000 index
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| Amount: | $501,000
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| Maturity: | Aug. 3, 2017
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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 122.5% of return of worse performing index; if either index falls by up to knock-in level, par; otherwise, full exposure to any losses of the worse performing index
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| Initial levels: | 2,103.84 for S&P and 1,238.68 for Russell
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| Knock-in levels: | 75% of initial level
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| Pricing date: | July 31
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| Settlement date: | Aug. 5
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.2%
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| Cusip: | 22546VGG5
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