By Susanna Moon
Chicago, Jan. 25 - Credit Suisse AG, Nassau Branch tweaked the initial price as well as the trigger levels on its $15.12 million of 0% autocallable knock-out notes due July 25, 2012 linked to Brent crude oil, according to a 424B2 filing with the Securities and Exchange Commission.
The initial price is now $109.86, down from $110.23. That puts the call price at $104.367 and the knock-out price at $87.888.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
Beginning on April 20, the notes will be automatically called on any day if the closing price of Brent crude oil is greater than or equal to the call level, 95% of the initial price. The payment if called is 105.4% of par.
If the notes have not been called and the final price is greater than or equal to 80% of the initial price, the payout at maturity will be par. Investors will be fully exposed to the decline if the final price is less than 80% of the initial price.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Autocallable knock-out notes
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Underlying component: | Brent crude oil
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Amount: | $15,118,000
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Maturity: | July 25, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final price is at least 80% of initial price, par; otherwise, full exposure to losses
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Call: | Automatically at 105.4% of par beginning April 20 if closing price is at least 95% of initial price
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Initial price: | $109.86
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Call level: | $104.367
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Knock-out level: | $87.888, 80% of initial level
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Pricing date: | Jan. 20
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Settlement date: | Jan. 25
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 0.5%
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Cusip: | 22546TKY6
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