By Marisa Wong
Madison, Wis., June 1 – Credit Suisse AG, London Branch priced $395,000 of 2% coupon digital barrier notes due May 29, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
A knock-in event occurs if the final level of either index is equal to or less than its knock-in level, 70% of the initial level.
If a knock-in event occurs, the payout at maturity will be par plus the return of the lesser-performing index, with full exposure to losses.
If a knock-in event does not occur, the payout will be par plus a fixed payment percentage of 23.5%.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Coupon digital barrier notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $395,000
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Maturity: | May 29, 2020
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Coupon: | 2%, payable quarterly
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Price: | Par
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Payout at maturity: | Par plus underlying return of lowest-performing index; exposure to losses if knock-in event occurs; otherwise, par plus 23.5% if knock-in event does not occur
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Knock-in event: | Final level of either index is equal to or less than its knock-in level
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Initial index levels: | 2,104.20 for S&P 500 and 1,238.756 for Russell 2000
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Knock-in levels: | 1,472.94 for S&P 500 and 867.1292 for Russell 2000, 70% of initial levels
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Pricing date: | May 26
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Settlement date: | May 29
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 4.05%
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Cusip: | 22546VCN4
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