By Marisa Wong
Morgantown, W.Va., May 2 – Credit Suisse AG, London Branch priced $3.06 million of 0% capped knock-out notes due May 9, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange.
A knock-out event will occur if the final share price is less than the initial share price by more than 25%.
If a knock-out event has not occurred and the ETF return is less than or equal to zero, the payout at maturity will be par.
If a knock-out event has not occurred and the ETF return is positive, the payout will be par plus 150% of the ETF return, subject to a maximum return of 20.2%.
If a knock-out event has occurred, investors will be fully exposed to the ETF’s decline.
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: | Capped knock-out notes
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| Underlying fund: | SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $3.06 million
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| Maturity: | May 9, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If a knock-out event has not occurred and the ETF return is less than or equal to zero, par; if a knock-out event has not occurred and the ETF return is positive, par plus 150% of the ETF return, capped at 20.2%; if a knock-out event has occurred, investors will be fully exposed to the ETF’s decline
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| Knock-out event: | Final share price is less than the initial share price by more than 25%
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| Initial price: | $35.11
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| Pricing date: | April 21
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| Settlement date: | April 26
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1%
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| Cusip: | 22548QZZ1
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