Credit Suisse plans to price capped knock-out notes linked to Vale

By Jennifer Chiou

New York, April 12 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due May 2, 2012 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.

If Vale ADSs decline by more than the knock-out buffer amount - expected to be 25% - 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 9.75%.

In either case, the payout will be subject to a maximum return that is expected to be 30%.

The exact knock-out buffer amount, contingent minimum return and maximum return will be set at pricing.

The notes (Cusip: 22546E4W1) are expected to price on April 15 and settle on April 20.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.