Credit Suisse plans dual directional capped knock-out notes on S&P 500

By Wendy Van Sickle

Columbus, Ohio, June 2 – Credit Suisse AG plans to price 0% dual directional capped knock-out notes due June 21, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus the index return, subject to an upside maximum return expected to be 5% that will be set at pricing.

If the final level is equal to or less than the initial level but has declined by an amount less than or equal to the 20.6% contingent buffer, the payout will be par plus the absolute value of the index return.

If the index falls by more than 20.6%, investors will receive par plus the index return, with full exposure to losses.

The final index level will be the average of the closing index levels on the five trading days ending June 16, 2017.

The notes (Cusip: 22548QAK1) will price June 3 and settle June 8. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

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