Published on 2/3/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $925,000 capped knock-out notes tied to S&P
By Sarah Lizee
Olympia, Wash., Feb. 3 – Credit Suisse AG, London Branch priced $925,000 of 0% capped knock-out notes due Feb. 10, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the final index level is less than 80% of the initial level.
If a knock-out event has not occurred, the payout at maturity will be par plus the index return, subject to a minimum payout of par and a maximum payout of par plus 9.25%.
If a knock-out event has occurred, investors will lose 1% for every 1% that the final index level is less than the initial index level.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $925,000
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Maturity: | Feb. 10, 2021
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final index level is at least 80% of initial index level, par plus index return, subject to minimum payout of par and maximum payout of par plus 9.25%; otherwise, 1% loss for every 1% that final index level is less than initial index level
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Initial index level: | 3,295.47
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Knock-out level: | 2,636.38, 80% of initial level
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Final index level: | Average of index’s closing levels on five trading days ending Feb. 5, 2021
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Pricing date: | Jan. 27
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Settlement date: | Jan. 30
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 1%
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Cusip: | 22551NKX3
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