Published on 2/14/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $11.58 million capped knock-out notes linked to S&P 500 via JPMorgan
New York, Feb. 14 - Credit Suisse AG, Nassau Branch priced $11.58 million of 0% capped knock-out notes due Feb. 27, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
A knock-out event occurs if the index falls by more than 20% 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 with a floor of par plus 3.8% and a cap of par plus 20%.
If a knock-out event occurs, the payout at maturity is par plus the index return, capped at 20%.
Issuer: | Credit Suisse AG, Nassau Branch
|
Issue: | Capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $ 11,583,000
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Maturity: | Feb. 27, 2013
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Coupon: | 0%
|
Price: | Par
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Payout at maturity: | If index falls by more than 20% from initial level during life of notes, par plus index return, capped at 20%; otherwise, plus index return with a floor of par plus 3.8% and a cap of par plus 20%
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Initial level: | 1342.64
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Knock-out level: | 1074.112, 80% of initial level
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Pricing date: | Feb. 10
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Settlement date: | Feb. 15
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 1%
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Cusip: | 22546TMN8
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