By Jennifer Chiou
New York, March 10 – Credit Suisse AG, London Branch priced $6,555,000 of 0% dual directional capped knock-out notes due Sept. 14, 2016 linked to the S&P 500 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 19.3% 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 19.3%.
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 19.3%. Investors will be fully exposed to any losses.
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: | S&P 500
|
| Amount: | $6,555,000
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| Maturity: | Sept. 14, 2016
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| 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 19.3%; 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 closing level is less than initial index level by more than 19.3%
|
| Initial index level: | 2,071.26
|
| Pricing date: | March 6
|
| Settlement date: | March 11
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546V6R2
|
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