By Angela McDaniels
Tacoma, Wash., Dec. 9 – Credit Suisse AG, London Branch priced $1.06 million of 0% capped knock-out notes due June 14, 2017 linked to the SPDR S&P Bank exchange-traded fund, according to a 424B2 filing with the Securities and Exchange.
A knock-out event will occur if the final share price is less than the initial share price by more than 15%.
If a knock-out event has not occurred and the ETF return is less than or equal to zero, the payout at maturity will be par.
If a knock-out event has not occurred and the ETF return is positive, the payout will be par plus 150% of the ETF return, subject to a maximum return of 19.56%.
If a knock-out event has occurred, investors will be fully exposed to the ETF’s decline.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Capped knock-out notes
|
| Underlying ETF: | SPDR S&P Bank ETF
|
| Amount: | $1,055,000
|
| Maturity: | June 14, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event has not occurred and ETF return is less than or equal to zero, par; if knock-out event has not occurred and ETF return is positive, par plus 150% of ETF return, subject to 19.56% maximum return; if knock-out event has occurred, full exposure to ETF’s decline
|
| Knock-out event: | Final share price is less than initial share price by more than 15%
|
| Initial share price: | $36.23
|
| Final share price: | Average of ETF’s closing share prices on five trading days ending June 9, 2017
|
| Pricing date: | Dec. 4
|
| Settlement date: | Dec. 9
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546VRS7
|
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