By Wendy Van Sickle
Columbus, Ohio, Sept. 7 – Credit Suisse AG priced $17.85 million of 0% dual directional capped knock-out notes due March 7, 2018 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 index return, subject to an upside maximum return of 8%.
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 23.8% contingent buffer, the payout will be par plus the absolute value of the index return.
If the index falls by more than 23.8%, 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 March 2, 2018.
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: | $17,845,000
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| Maturity: | March 7, 2018
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus index return, capped at 8%; if index declines by 23.8% or less, par plus absolute value of return; otherwise, full exposure to any losses
|
| Initial level: | 2,179.98
|
| Contingent buffer: | 23.8%
|
| Pricing date: | Sept. 2
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| Settlement date: | Sept. 8
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22548QGB5
|
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