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

By Toni Weeks

San Luis Obispo, Calif., June 23 – Credit Suisse AG plans to price 0% dual directional capped knock-out notes due Jan. 4, 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 a maximum return of at least 14.5% 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 14.5% contingent buffer, the payout will be par plus the absolute value of the index return.

If the index falls by more than 14.5%, 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 Dec. 30, 2016.

The notes (Cusip: 22546VFY7) will price June 26 and settle July 1.

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

© 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.