Published on 12/9/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.8 million dual directional knock-out notes linked to Euro Stoxx
By Angela McDaniels
Tacoma, Wash., Dec. 9 – Credit Suisse AG, London Branch priced $3.8 million of 0% dual directional capped knock-out notes due June 8, 2017 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 19.6%.
If the final index level is less than or equal to the initial index level but the index does not decline by more than 19.6%, the payout will be par plus the absolute value of the index return.
If the index declines by more than 19.6%, investors will be fully exposed to the index’s decline from its initial level.
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
|
| Amount: | $3,795,000
|
| Maturity: | June 8, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index finishes above initial level, par plus index return, subject to 19.6% maximum return; if final index level is less than or equal to initial index level but index does not decline by more than 19.6%, par plus absolute value of index return; if index declines by more than 19.6%, full exposure to index’s decline from initial level
|
| Initial index level: | 3,330.75
|
| Final index level: | Average of index’s closing levels on five trading days ending June 5, 2017
|
| Pricing date: | Dec. 4
|
| Settlement date: | Dec. 9
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546VS72
|
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