Credit Suisse plans dual directional knock-out notes linked to S&P 500

By Tali Rackner

Norfolk, Va., Sept. 22 – Credit Suisse AG, London Branch plans to price 0% dual directional capped knock-out notes due April 5, 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 of $1,000 plus the index return, subject to a maximum return of at least 17.1%. The exact cap 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 17.1% contingent buffer, the payout will be par plus the absolute value of the index return.

If the index falls by more than 17.1%, investors will lose 1% for every 1% that the index declines from its initial value.

The final index level will be the average of the closing index levels on the five trading days ending March 31, 2017.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

The notes are expected to price Sept. 25 and settle Sept. 30.

The Cusip number is 22546VLD6.

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