By Marisa Wong
Madison, Wis., Oct. 22 - Credit Suisse AG, Nassau Branch priced $1 million of 0% capped knock-out notes due Nov. 5, 2013 linked to the SPDR S&P Homebuilders exchange-traded fund and the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
A knock-out event occurs if the closing share price of either fund is less than its initial share price by more than 30% on any day during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus 19.5%.
If a knock-out event occurs, the payout at maturity will be par plus the return of the lowest-performing ETF, subject to a maximum return of 19.5%.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlying ETFs: | SPDR S&P Homebuilders exchange-traded fund and iShares MSCI Emerging Markets index fund
|
| Amount: | $1 million
|
| Maturity: | Nov. 5, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event does not occur, par plus 19.5%; if knock-out event occurs, par plus lesser of 19.5% and return of lowest-performing ETF
|
| Knock-out event: | Closing share price of either ETF is less than knock-out level on any day during life of notes
|
| Initial share prices: | $26.17 for Homebuilders and $42.16 for Emerging Markets
|
| Knock-out levels: | $18.319 for Homebuilders and $29.512 for Emerging Markets; 70% of initial prices
|
| Pricing date: | Oct. 18
|
| Settlement date: | Oct. 23
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | None
|
| Cusip: | 22546TE80
|
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