Credit Suisse plans dual directional notes tied to Russell, Euro Stoxx

By Angela McDaniels

Tacoma, Wash., Sept. 9 – Credit Suisse AG plans to price 0% market-linked dual directional notes due September 2019 linked to an equally weighted basket made up of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par of $10 plus 110% to 130% of the basket return. The exact participation rate will be set at pricing.

If the basket decreases by up to 7.5%, the payout will be par plus the absolute value of the basket return.

If the basket decreases by more than 7.5% but not more than 15%, the payout will be par plus a positive return equal to the basket’s negative percentage change plus 15%.

Otherwise, investors will lose 1% for every 1% that the basket declines beyond 15%.

BofA Merrill Lynch is the underwriter.

The notes are expected to price and settle in September.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.