Published on 9/13/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.74 million dual directional knock-out notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Sept. 13 – Credit Suisse AG, London Branch priced $2.74 million of 0% dual directional capped knock-out notes due March 14, 2018 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial index level, the payout at maturity will be par plus the index return, subject to a maximum return of 8%. If the final index level is less than the initial index level but has not declined by more than 23.7%, the payout will be par plus the absolute value of the index return. If the index declines by more than 23.7%, investors will have one-to-exposure to the index’s decline from its initial level.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Dual directional capped knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $2,735,000
|
| Maturity: | March 14, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial index level, par plus index return, subject to 8% maximum return; if final index level is less than initial index level but has not declined by more than 23.7%, par plus absolute value of index return; if index declines by more than 23.7%, one-to-exposure to index’s decline from initial level
|
| Initial index level: | 2,127.81
|
| Final index level: | Average of index’s closing levels on five trading days ending March 9, 2018
|
| Pricing date: | Sept. 9
|
| Settlement date: | Sept. 14
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22548QH81
|
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