By Angela McDaniels
Tacoma, Wash., June 24 - Credit Suisse AG, Nassau Branch priced $16.2 million notional amount of capped reverse prepaid put warrants expiring Jan. 26, 2011 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. They sold for $83.08 each for total proceeds of $1.35 million.
The warrants will be automatically exercised on the expiration date. If the final index level is greater than or equal to 850, the payout will be $92.86 per warrant. This is equal to the sale price of the warrants plus 11.77%.
If the final index level is less than 850 and greater than 750, the payout will be $92.86 minus the product of the underlying strike change multiplied by $1,000.
The underlying strike change is a) 850 minus the final index level divided by b) the initial index level. If the final level is less than 839.47, this calculation will result in a loss.
If the final index level is 750 or less, the warrants will expire worthless and investors will receive nothing.
The final index level will be the official special opening quotation of the S&P 500 as published by the Chicago Board Options Exchange on Jan. 21, 2011 under the ticker symbol "SET."
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Capped reverse prepaid put warrants
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Underlying index: | S&P 500
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Notional amount: | $16.2 million
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Proceeds: | $1,345,896
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Expiration: | Jan. 26, 2011
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Price: | $83.08 per $1,000 notional amount
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Payout upon exercise: | If final index level is at least 850, $92.86; if final level is less than 850 and greater than 750, $92.86 minus product of underlying strike change multiplied by $1,000; if final index level is 750 or less, nothing
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Underlying strike change: | a) 850 minus final level divided by b) initial level
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Initial index level: | 1,076.94
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Pricing date: | June 24
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Settlement date: | June 29
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Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
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Fees: | None
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Cusip: | 22542D167
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