By Wendy Van Sickle
Columbus, Ohio, June 14 – Credit Suisse AG, London Branch priced $1.8 million of 0% capped knock-out notes due Sept. 12, 2018 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 20%.
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 125% of the ETF return, subject to a maximum return of 15.05%.
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
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| Issue: | Capped knock-out notes
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| Underlying ETF: | SPDR S&P Bank ETF
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| Amount: | $1.8 million
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| Maturity: | Sept. 12, 2018
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| Coupon: | 0%
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| Price: | Par
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| 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 125% of ETF return, subject to 15.05% maximum return; if knock-out event has occurred, full exposure to ETF’s decline
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| Knock-out event: | Final share price is less than initial share price by more than 20%
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| Initial share price: | $43.88
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| Final share price: | Average of ETF’s closing share prices on five trading days ending Sept. 7, 2018
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| Pricing date: | June 9
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| Settlement date: | June 14
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.12%
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| Cusip: | 22550BAT0
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