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Credit Suisse to price capped knock-out notes linked to S&P 500 index
By Devika Patel
Knoxville, Tenn., Feb. 17 – Credit Suisse AG, London branch, plans to price 0% capped knock-out notes due March 8, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange.
A knock-out event will occur if the index finishes below its initial level by more than the knock-out buffer amount. The knock-out buffer amount is expected to be 15% and will be set at pricing.
If a knock-out event has not occurred, the payout at maturity will be par plus 10.1% of the index return, subject to a maximum settlement amount of $1,101 per $1,000 of notes.
If a knock-out event has occurred, investors will be exposed to the decline.
J.P. Morgan is the agent.
The notes (Cusip: 22546VX92) are expected to price Feb. 19 and settle Feb. 24.
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