Credit Suisse to price three-year call warrants linked to S&P 500

By Jennifer Chiou

New York, Nov. 6 – Credit Suisse AG, Nassau Branch plans to price call warrants expiring Nov. 13, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The warrants will have a notional amount of $1,000 each. The issuer expects the issue price to be $128 per warrant, or 12.8% of the notional amount. The minimum purchase requirement is eight 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 notional amount per warrant multiplied by the index return. If the index's final level is equal to or less than the initial index level, the cash settlement amount will be zero.

The notes (Cusip: 22547T340) will price on Nov. 7 and settle on Nov. 13.

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

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