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

By Marisa Wong

Morgantown, W.Va., Sept. 8 – Credit Suisse AG, London Branch plans to price 0% dual directional capped knock-out notes due March 14, 2018 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 index level, the payout at maturity will be par plus the index return, subject to a maximum return that is expected to be at least 8% and will be set at pricing. If the final index level is less than the initial index level but has not declined by more than 23.7%, the payout will be par plus the absolute value of the index return. If the index declines by more than 23.7%, investors will have one-to-exposure to the index’s decline from its initial level.

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

The notes will price Sept. 9.

The Cusip number is 22548QH65.

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