By Angela McDaniels
Tacoma, Wash., Sept. 5 – Credit Suisse AG, London Branch priced $1.5 million of 0% knock-out notes due Sept. 3, 2020 linked to the Euro Stoxx Banks index and the performance of the euro relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the underlying return is less than zero by more than 0.25. The underlying return is equal to (a) (i) the quotient of the final index level divided by the initial index level multiplied by (ii) the final spot rate divided by the initial spot rate minus (b) one.
If a knock-out event has not occurred, the payout at maturity will be par plus 1.165 times the underlying return, subject to a minimum return of zero. If a knock-out event has occurred, investors will receive $1,000 plus the product of $1,000 and the underlying return.
The issuer noted that if the value of the dollar appreciates against the euro, investors may lose some or all of their investments in the notes, even if the index has increased during the term of the notes. Conversely, if the index has decreased during the term of the notes, investors may lose some or all of their investments in the notes, even if the value of the dollar depreciates against the euro.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Knock-out notes
|
| Underliers: | Euro Stoxx Banks index and euro
|
| Amount: | $1.5 million
|
| Maturity: | Sept. 3, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If underlying return is less than zero by more than 0.25, $1,000 plus product of $1,000 and underlying return; otherwise, par plus 1.165 times underlying return, subject to minimum return of zero
|
| Underlying return: | (a) (i) quotient of final index level divided by initial index level multiplied by (ii) final spot rate divided by initial spot rate minus (b) one
|
| Initial levels: | 130.19 for index and 1.19135 for euro
|
| Final level: | Average of underlier’s closing levels on five trading days ending Aug. 31, 2020
|
| Strike date: | Aug. 30
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 5
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 2%
|
| Cusip: | 22550BHA4
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