By Angela McDaniels
Tacoma, Wash., Sept. 21 - Credit Suisse AG, Nassau Branch priced $5.34 million of 0% semiannual review notes due Sept. 21, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index closes at or above the call level on any of four review dates.
The call level is 90% of the initial level on the first review date and 100% of the initial level on the other three review dates.
The redemption amount will be par plus 4.425% if the notes are called March 17, par plus 8.85% if they are called Sept. 26, 2011, par plus 13.275% if called March 19, 2012 and par plus 17.7% if called Sept. 17, 2012.
If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial level. Investors will lose 1.1111% for every 1% that the index declines beyond 10%.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Semiannual review notes
|
| Underlying index: | S&P 500
|
| Amount: | $5,342,000
|
| Maturity: | Sept. 21, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if final index level is at least 90% of initial level; 1.1111% loss for every 1% decline beyond 10%
|
| Call: | At par plus premium of 8.85% per year if index closes at or above call level on any of four review dates; call level is 90% of initial index level on March 17 and 100% of initial level on Sept. 26, 2011, March 19, 2012 and Sept. 17, 2012
|
| Initial index level: | 1,125.59
|
| Pricing date: | Sept. 17
|
| Settlement date: | Sept. 22
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1.5%
|
| Cusip: | 22546EZN7
|
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