By Sarah Lizee
Olympia, Wash., March 27 – Credit Suisse AG, London Branch priced $1 million of 0% capped knock-out notes due June 30, 2020 linked to the iShares MSCI Emerging Markets 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 72% of the initial share price.
If a knock-out event has not occurred and the ETF return is positive, the payout at maturity will be par plus the ETF gain, subject to a maximum return of 15%.
If a knock-out event has not occurred and the ETF return is zero or negative, the payout will be par.
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: | iShares MSCI Emerging Markets ETF
|
| Amount: | $1 million
|
| Maturity: | June 30, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF return is positive, par plus the gain, capped at 15%; if ETF return is zero or negative but ETF finishes at or above knock-out price, par; otherwise, full exposure to ETF’s decline
|
| Initial price: | $42.43
|
| Knock-out price: | $30.55, 72% of initial price
|
| Final price: | Average of ETF’s closing share prices on five trading days ending June 25, 2020
|
| Pricing date: | March 25
|
| Settlement date: | March 28
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.12%
|
| Cusip: | 22552F4E9
|
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