By Marisa Wong
Morgantown, W.Va., Oct. 22 – Credit Suisse AG, London Branch priced $1 million of 0% dual directional capped knock-out notes due Oct. 15, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above its initial level, the payout at maturity will be par plus the index return, up to a maximum return of 21.25%.
If the index finishes flat or falls by up to 21.25%, the payout will be par plus the absolute value of the index return.
If the index falls by more than the 21.25% contingent buffer, 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 index
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| Amount: | $1 million
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| Maturity: | Oct. 15, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any index gain, capped at 21.25%; if index finishes flat or falls by up to 21.25%, par plus the absolute value of the index return; otherwise, full exposure to any losses
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| Initial level: | 2,767.13
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| Final level: | Average of index closing levels on each of five trading days ending Oct. 9, 2020
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| Pricing date: | Oct. 12
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| Settlement date: | Oct. 17
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22551LG20
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