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Credit Suisse plans to price knock-out notes linked to S&P 500 index
By Toni Weeks
San Diego, March 15 - Credit Suisse AG, Nassau Branch plans to price 0% index knock-out notes due Sept. 24, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the S&P 500 index falls by more than the expected knock-out buffer of 27.75% from its initial level during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and zero.
The exact knock-out buffer will be set at pricing.
The notes (Cusip: 22546E2U7) are expected to price March 18 and settle March 23.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
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