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Credit Suisse to price capped knock-out notes linked to S&P 500
By Toni Weeks
San Diego, April 9 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due May 1, 2013 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 contingent minimum return that is expected to be 5.25%.
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 15%.
The exact terms will be set at pricing.
The notes (Cusip: 22546TRA1) will price April 13 and settle April 18.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
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