By Angela McDaniels
Tacoma, Wash., May 19 - Credit Suisse AG, Nassau Branch priced $1.95 million of capped reverse prepaid put warrants expiring Dec. 22, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The warrants have a notional amount of $1,000 each and were sold for $78.63 each.
The warrants will be automatically exercised on the expiration date. If the final index level is greater than or equal to 900, the payout will be $87.80 per warrant.
If the final index level is less than 900 and greater than 800, the payout will be $87.80 minus the product of the underlying strike change multiplied by $1,000.
The underlying strike change is a) 900 minus the final index level divided by b) the initial index level. If the final level is less than 889.55, this calculation will result in a loss.
If the final index level is 800 or less, the warrants will expire worthless and investors will receive nothing.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped reverse prepaid put warrants
|
| Underlying index: | S&P 500
|
| Amount: | $1,950,024
|
| Expiration: | Dec. 22, 2010
|
| Price: | $78.63
|
| Payout upon exercise: | If final index level is at least 900, $87.80; if final level is less than 900 and greater than 800, $87.80 minus product of underlying strike change multiplied by $1,000; if final index level is 800 or less, nothing
|
| Underlying strike change: | 900 minus final level divided by initial level
|
| Initial index level: | 1,139.00
|
| Pricing date: | May 18
|
| Settlement date: | May 21
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | None
|
| Cusip: | 22542D134
|
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