By Wendy Van Sickle
Columbus, Ohio, Oct. 13 – Credit Suisse AG, London Branch priced $8.52 million of 0% knock-out notes due Oct. 25, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the final share price is less than the initial share price by more than the 35% knock-out buffer.
If a knock-out event has not occurred, the payout at maturity will be par plus the fixed payment percentage, 9.9%. If a knock-out event has occurred, investors will lose 1% for every 1% that the final share price is less than the initial share price.
The final share price will be the average of the index’s closing share prices on the five trading days ending Oct. 20, 2017.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Knock-out notes
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| Underlying fund: | SPDR S&P Oil & Gas Exploration & Production
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| Amount: | $8.52 million
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| Maturity: | Oct. 25, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 9.9% unless final fund level is less than initial level by more than 35%, in which case 1% loss for every 1% that fund declines from initial level
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| Initial level: | $38.33
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| Knock-out buffer level: | $24.91, 65% of initial level
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| Final index level: Average of fund’s closing levels on the five trading days ending Oct. 20, 2017
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| Pricing date: | Oct. 7
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| Settlement date: | Oct. 13
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
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| Cusip: | 22548QKR5
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