Credit Suisse plans capped knock-out notes tied to S&P Regional Banks

By Devika Patel

Knoxville, Tenn., May 10 – Credit Suisse AG, London branch, plans to price 0% capped knock-out notes due May 30, 2019 linked to the S&P Regional Banks Select Industry 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 if the index finishes flat or falls and par plus the index return if the index gains, subject to a maximum settlement amount of $1,233 per $1,000 of notes.

If a knock-out event has occurred, investors will be exposed to the decline.

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

The notes (Cusip: 22550WTT4) are expected to price May 11 and settle May 16.

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