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Credit Suisse to price capped knock-out notes linked to MSCI EAFE
By Marisa Wong
Madison, Wis., Aug. 13 - Credit Suisse AG plans to price 0% capped knock-out notes due Sept. 4, 2014 linked to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
A knock-out event occurs if the final index level is less than the initial level by more than the knock-out buffer amount, which is expected to be 10% and will be set at pricing.
If a knock-out event has not occurred, the payout at maturity will be par plus double any index gain, subject to a maximum return that is expected to be 16%. If the index falls by up to 10%, the payout will be par. The exact upside leverage factor and cap will be set at pricing.
Otherwise, investors will be fully exposed to losses.
The notes are expected to price Aug. 16 and settle Aug. 21.
The Cusip number is 22547Q7K6.
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