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Credit Suisse plans to price knock-out notes linked to S&P 500
By Toni Weeks
San Luis Obispo, Calif., Jan. 13 – Credit Suisse AG plans to price 0% knock-out notes due July 20, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the index closes below the knock-out level during the life of the notes. The knock-out level is expected to be 77% of the initial level and will be set at pricing.
If a knock-out event does not occur, the payout at maturity will be par plus the greater of any index gain and zero.
If a knock-out event has occurred, the payout will be par plus the index return, with full exposure to losses.
The final index level will be the average of the closing index levels on the five trading days ending July 15, 2016.
The notes (Cusip: 22546V2N5) will price Jan. 16 and settle Jan. 21.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
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