Credit Suisse to price knock-out notes linked to SPDR S&P Bank ETF

By Angela McDaniels

Tacoma, Wash., March 15 – Credit Suisse AG, London Branch plans to price 0% knock-out notes due April 5, 2017 linked to the SPDR S&P Bank exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the final share price is less than the initial share price by more than the knock-out buffer amount, which is expected to be 15%.

If a knock-out event has not occurred, the payout at maturity will be par plus the fixed payment percentage, which is expected to be 12.3%. If a knock-out event has occurred, investors will lose 1% for every 1% that the final share price is less than the initial share price.

The exact knock-out buffer amount and fixed payment percentage will be set at pricing.

The final share price will be the average of the index’s closing share prices on the five trading days ending March 31, 2017.

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

The notes will price March 18.

The Cusip number is 22546VZ90.

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