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Credit Suisse to price capped knock-out notes linked to S&P 500
By Toni Weeks
San Luis Obispo, Calif., Oct. 23 - Credit Suisse AG plans to price 0% capped knock-out notes due Nov. 13, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than the knock-out buffer - expected to be 20% - from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the index return, subject to a floor of par.
If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to losses.
In either case, the return is subject to a cap that is expected to be 13.5% and will be set at pricing.
The final index level will be the average of the closing index levels on the five trading days ending Nov. 7, 2014.
The notes (Cusip: 22547QCL8) will price Oct. 25 and settle Oct. 30.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
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