Published on 2/20/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.92 million knock-out notes linked to Hang Seng, renminbi
By Angela McDaniels
Tacoma, Wash., Feb. 20 - Credit Suisse AG, Nassau Branch priced $2.92 million of 0% capped knock-out notes due March 5, 2014 linked to the Hang Seng China Enterprises index and the performance of the deliverable Chinese renminbi relative to the dollar, 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 will occur if the underlying return is less than zero by more than 0.2.
The underlying return is (a) (i) the final index level divided by the initial index level multiplied by (ii) the final spot rate divided by the initial spot rate minus (b) one.
If a knock-out event has not occurred, the payout at maturity will be par plus the product of $1,000 and the underlying return, subject to a minimum return of zero and a maximum return of 18%. Otherwise, the payout will be par plus the product of $1,000 and the underlying return.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlyings: | Hang Seng China Enterprises index, deliverable Chinese renminbi
|
| Amount: | $2,915,000
|
| Maturity: | March 5, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event does not occur, par plus product of $1,000 and underlying return, subject to minimum return of zero and maximum return of 18%; otherwise, par plus product of $1,000 and underlying return
|
| Knock-out event: | Underlying return is less than zero by more than 0.2
|
| Underlying return: | (a) (i) final index level divided by initial index level multiplied by (ii) final spot rate divided by initial spot rate minus (b) one
|
| Initial index level: | 11,845.20
|
| Initial spot rate: | 0.160803, which is one divided by spot rate on pricing date
|
| Final spot rate: | One divided by spot rate on Feb. 28, 2014
|
| Pricing date: | Feb. 15
|
| Settlement date: | Feb. 21
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TZ87
|
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