By Wendy Van Sickle
Columbus, Ohio, June 8 – Credit Suisse AG, London Branch priced $1 million of 0% dual directional knock-out notes due June 25, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial level, the payout at maturity will be par plus the greater of index return and the contingent minimum return of 10%.
If the final level is equal to or less than the initial level but has declined by an amount less than or equal to the 41% knock-out buffer, the payout will be par plus the greater of the contingent minimum return and the absolute value of the index return.
If the index falls by more than 41%, investors will be fully exposed to the loss.
The final index level will be the average of the closing index levels on the five trading days ending June 22, 2021.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Dual directional knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $1 million
|
| Maturity: | June 25, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus greater of index return and 10%; if index declines by 41% or less, par plus greater of absolute value of return and 10%; otherwise, full exposure to any losses
|
| Initial level: | 2,085.45
|
| Knock-out buffer: | 41%
|
| Pricing date: | June 22
|
| Settlement date: | June 27
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 3%
|
| Cusip: | 22548QBC8
|
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