By Wendy Van Sickle
Columbus, Ohio, Feb. 2 – Credit Suisse AG, London Branch priced $1.5 million of 0% capped knock-out notes due Aug. 2, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.
A knock-out event will occur if the final ETF level is less than the initial ETF level by more than the knock-out buffer of 20%.
If a knock-out event has not occurred and the final ETF level is greater than the initial level, the payout at maturity will be par plus the ETF return up to a maximum return of 33.75%.
If a knock-out event has not occurred and the final ETF level is less than or equal to the initial level, the payout will be par.
If a knock-out event has occurred, investors will be fully exposed to the index’s decline.
J.P. Morgan Securities LLC and JPMorgan Chase Bank are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Capped knock-out notes
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| Underlying ETF: | iShares MSCI Emerging Markets
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| Amount: | $1.5 million
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| Maturity: | Aug. 2, 2017
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If knock-out event has not occurred and final level is greater than initial level, par plus index return up to a maximum return of 33.75%; if knock-out event has not occurred and index is less than initial level, par; otherwise, full exposure to index decline
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| Knock-out buffer amount: | 20%
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| Initial level: | $29.61
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| Pricing date: | Jan. 28
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| Settlement date: | Feb. 2
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.25%
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| Cusip: | 22546VWB8
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