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Credit Suisse plans dual directional knock-out notes linked to S&P 500
By Susanna Moon
Chicago, Jan. 26 – Credit Suisse AG, London branch plans to price 0% dual directional capped knock-out notes due Feb. 22, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus the gain, up to a maximum return of 10%.
If the index falls by up to the contingent buffer of 17.7%, the payout at maturity will be par plus the absolute value of the index return.
Otherwise, the payout will be par plus the index return, with full exposure to losses.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
The notes will price on Jan. 29 and settle on Feb. 2.
The Cusip number is 22546VVS2.
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