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Credit Suisse plans optimal entry return enhanced notes on S&P 500
By Jennifer Chiou
New York, May 10 - Credit Suisse AG, Nassau Branch plans to price 0% optimal entry return enhanced notes due Aug. 15, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is above the lookback level, the payout at maturity will be par plus double the return, subject to a maximum return of 11.6%.
The lookback level is the lowest closing level of the index during the 60 calendar-day period from and including the pricing date, and the final level is the average of the closing levels of the index on the five valuation dates ending Aug. 10, 2012.
Investors will be exposed to any decline if the final index level is below the lookback level.
The securities (Cusip: 22546E6Y5) are expected to price on May 13 and settle on May 18.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
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