By Toni Weeks
San Luis Obispo, Calif., Feb. 19 – Credit Suisse AG, London Branch priced $4.41 million of 0% dual directional capped knock-out notes due Aug. 17, 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 25% 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 25%.
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 25%. Investors will be fully exposed to any losses.
The final index level will be the average of the closing index levels on the five trading dates ending Aug. 12, 2016.
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: | $4.41 million
|
| Maturity: | Aug. 17, 2016
|
| 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 25%; 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 final closing level is less than initial index level by more than 25%
|
| Initial index level: | 3,447.59
|
| Pricing date: | Feb. 13
|
| Settlement date: | Feb. 19
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546V5D4
|
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