Published on 12/3/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $10 million knock-out notes linked to three indexes
By Angela McDaniels
Tacoma, Wash., Dec. 3 – Credit Suisse AG, London Branch priced $10 million of 0% knock-out notes due Nov. 30, 2020 linked to an equally weighted basket consisting of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the final basket level is less than the initial basket level by more than 42.5%.
If the final basket level is greater than the initial level, the payout at maturity will be par plus 125% of the basket return.
If the final basket level is less than or equal to the initial level and a knock-out event has not occurred, the payout will be par.
If a knock-out event has occurred, investors will be fully exposed to the basket’s decline.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Knock-out notes
|
| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500, equally weighted
|
| Amount: | $10 million
|
| Maturity: | Nov. 30, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is greater than initial level, par plus basket return; if final basket level is less than or equal to initial level but basket has not declined by more than 42.5%, par; if final basket level is less than initial level by more than 42.5%, full exposure to basket’s decline
|
| Initial levels: | 2,089.14 for S&P 500, 1,188.814 for Russell 2000 and 3,409.60 for Euro Stoxx 50
|
| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 3%
|
| Cusip: | 22546VRA6
|
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