Published on 11/18/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.83 million dual directional knock-out notes linked to S&P 500
By Susanna Moon
Chicago, Nov. 18 – Credit Suisse AG, London Branch priced $1.83 million of 0% dual directional capped knock-out notes due May 18, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus the gain, up to a maximum return of 10%.
If the index falls by up to the 80% knock-out level, the payout will be par plus the absolute value of the return.
Otherwise, 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
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Issue: | Dual directional capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $1,825,000
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Maturity: | May 18, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index gains, par plus index return, capped at 10%; if index declines by 20% or less, par plus absolute value of return; otherwise, full exposure to any losses
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Initial level: | 2,023.04
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Knock-out level: | 80% of initial level
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Pricing date: | Nov. 13
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Settlement date: | Nov. 18
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 1.25%
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Cusip: | 22546VQH2
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