Credit Suisse plans dual directional knock-out notes on Euro Stoxx

By Marisa Wong

Madison, Wis., Feb. 10 – Credit Suisse AG plans to price 0% dual directional capped knock-out notes due Aug. 17, 2016 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index closes below the initial level by more than the knock-out buffer amount on any day during the life of the notes. The knock-out buffer is expected to be 25% and will be set at pricing.

If a knock-out event has not occurred and the index return is positive, the payout at maturity will be par plus the index gain, capped at 25%.

If a knock-out event has not occurred and the index return is zero or negative, the payout will be par plus the absolute value of the index return.

If a knock-out event has occurred, the payout will be par plus the lesser of the index return and the maximum return of 25%. Investors will be fully exposed to any losses.

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

The notes will price on Feb. 13 and settle on Feb. 19.

The Cusip number is 22546V5D4.

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