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Credit Suisse plans 0% dual directional buffered notes linked to S&P 500
By Toni Weeks
San Luis Obispo, Calif., Feb. 4 – Credit Suisse AG plans to price 0% dual directional buffered return enhanced notes due Feb. 24, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the placement agents.
If the index return is positive, the payout at maturity will be par plus the gain, capped at 11.1%.
If the index falls by up to 11.1%, the payment at maturity will be par plus the absolute value of the return.
Investors will be fully exposed to the index decline from the initial level if it falls by more than 11.1%.
The final index level will be the average of the closing index levels on the five trading days ending Feb. 19, 2016.
The notes (Cusip: 22546V4Q6) are expected to price Feb. 6 and settle Feb. 10.
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