Credit Suisse plans to price call warrants linked to S&P 500 index

By Jennifer Chiou

New York, Oct. 8 – Credit Suisse AG, Nassau Branch plans to price call warrants expiring Oct. 13, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notional amount is $1,000 per warrant. The initial investment is expected to be $129.90 per warrant, or 12.99% of the notional amount. The minimum purchase is 8 warrants.

The warrants will be automatically exercised on the expiration date if the index's final level is greater than the initial index level. The cash settlement amount will be the greater of (a) the notional amount per warrant multiplied by the index return and (b) zero.

The index return must be greater than 12.99% for investors to receive a positive return on their initial investments.

If the index's final level is equal to or less than the initial index level, the warrants will expire worthless and investors will lose their entire initial investments in the warrants.

The warrants (Cusip: 22547T258) will price on Oct. 10 and settle on Oct. 16.

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

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