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

By Angela McDaniels

Tacoma, Wash., May 10 – Credit Suisse AG, London Branch plans to price 0% knock-out notes due Nov. 15, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the final index level is less than the initial level by more than the knock-out buffer amount, which is expected to be 19.4%.

If a knock-out event has not occurred, the payout at maturity will be par plus the index return, subject to a minimum payout of par. If a knock-out event has occurred, investors will lose 1% for every 1% that the final index level is less than the initial index level.

The final index level will be the average of the index’s closing levels on the five trading days ending Nov. 10, 2017.

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

The notes will price May 13.

The Cusip number is 22548Q6K6.

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