By Jennifer Chiou
New York, Feb. 24 – Credit Suisse AG, London Branch priced $7,785,000 of 0% dual directional capped knock-out notes due Aug. 24, 2016 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes below the initial level by more than the 24.85% knock-out buffer amount on any day during the life of the notes.
If a knock-out event has not occurred and the index return is positive, the payout at maturity will be par plus the index gain, capped at 24.85%.
If a knock-out event has not occurred and the index return is zero or negative, the payout will be par plus the absolute value of the index return.
If a knock-out event has occurred, the payout will be par plus the lesser of the index return and the maximum return of 24.85%. Investors will be fully exposed to any losses.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Dual directional capped knock-out notes
|
| Underlying index: | Euro Stoxx 50
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| Amount: | $7,785,000
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| Maturity: | Aug. 24, 2016
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event does not occur and index return is positive, par plus lesser of index return and 24.85%; if knock-out event does not occur and index return is zero or negative, par plus absolute value of index return; if knock-out event occurs, par plus index return
|
| Knock-out event: | Index's closing level is less than initial index level by more than 24.85%
|
| Initial index level: | 3,490.53
|
| Pricing date: | Feb. 20
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| Settlement date: | Feb. 25
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546V5K8
|
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