By Jennifer Chiou
New York, Nov. 19 - Credit Suisse AG, Nassau Branch priced $1 million of 0% capped knock-out notes due Nov. 21, 2013 linked to equal weights of the MSCI AC (All Country) Far East Ex-Japan index and the iShares MSCI Emerging Markets index fund, according to a 424B2 with the Securities and Exchange Commission.
If the basket declines by more than the knock-out buffer level - expected to be 70% of the initial level - during the life of the notes, the payout at maturity will be par plus the basket return, with full exposure to any losses.
If a knock-out event has not occurred, the payout will be par plus the greater of the basket return and the contingent minimum return of 21.4%.
In each case, the payout will be subject to a maximum return of 30%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlying assets: | Equal weights of the MSCI AC (All Country) Far East Ex-Japan index and the iShares MSCI Emerging Markets index fund
|
| Amount: | $1 million
|
| Maturity: | Nov. 21, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket falls below 70% of initial level during life of notes, par plus basket return with exposure to losses; otherwise, par plus greater of basket return and 21.4%; payout capped at 130% of par in all cases
|
| Initial levels: | 502.85 for index; $45.40 for fund
|
| Pricing date: | Nov. 17
|
| Settlement date: | Nov. 22
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 2%
|
| Cusip: | 22546EA38
|
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