By Jennifer Chiou
New York, Sept. 5 - Credit Suisse AG, Nassau Branch priced $950,000 of 0% knock-out notes due March 12, 2014 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of equal weights of the Industrial Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Materials Select Sector SPDR fund.
A knock-out event occurs if the basket falls by more than the knock-out buffer - expected to be 29.5% - 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 basket return, with a floor of par.
If a knock-out event occurs, the payout at maturity will be par plus the basket return, with exposure to losses.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Knock-out notes
|
| Underlying ETFs: | Equal weights of the Industrial Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Materials Select Sector SPDR fund
|
| Amount: | $950,000
|
| Maturity: | March 12, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event does not occur, par plus basket gain with floor of par; if knock-out event occurs, par plus basket performance
|
| Initial share prices: | $36.36 for Industrial, $71.52 for Energy; $35.65 for Materials
|
| Knock-out buffer: | 29.5% of initial level
|
| Pricing date: | Aug. 31
|
| Settlement date: | Sept. 6
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 22546TYR6
|
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