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Credit Suisse plans to price capped knock-out notes on Vale ADSs
By Jennifer Chiou
New York, Oct. 26 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Nov. 16, 2011 linked to the American Depositary Shares of Vale SA, according to an FWP filing with the Securities and Exchange Commission.
If Vale ADSs decline by more than the knock-out buffer amount - expected to be 70% - during the life of the notes, the payout at maturity will be par plus the ADS return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the ADS return and the contingent minimum return, which is expected to be 12%.
In each case, the payout will be subject to a maximum return that is expected to be 25%.
The exact knock-out buffer amount, contingent minimum return and maximum return will be set at pricing.
The notes (Cusip 22546EE83) are expected to price on Oct. 29 and settle on Nov. 3.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
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