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Credit Suisse plans to price knock-out notes linked to Euro Stoxx 50
By Toni Weeks
San Diego, Aug. 28 - Credit Suisse AG, Nassau Branch plans to price 0% knock-out notes due March 12, 2014 linked to the Euro Stoxx 50 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 30% - 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 greater of the index return and the contingent minimum return, which is expected to be 10.45%.
If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to losses.
The exact terms will be set at pricing.
The notes (Cusip: 22546TYP0) will price Aug. 31 and settle Sept. 6.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
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