By Toni Weeks
San Diego, March 20 - Credit Suisse AG, Nassau Branch priced $4.61 million of 0% dual directional capped knock-out notes due April 4, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
A knock-out event occurs if the index's closing level is less than the initial index level by more than the 22% knock-out buffer on any day during the life of the notes.
If a knock-out event has not occurred and the index return is greater than zero, the payout at maturity will be par plus the lesser of the index return and the maximum upside return of 15%.
If a knock-out event has not occurred and the index return is less than or equal to zero, the payout will be par plus the absolute value of the index return.
If a knock-out event has occurred, the payout will be par plus the lesser of the index return and the maximum upside return. The payout will be less than par if the index return is negative.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Dual directional capped knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $4,611,000
|
| Maturity: | April 4, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event does not occur and index return is positive, par plus lesser of index return and 15%; if knock-out event does not occur and index return is zero or negative, par plus absolute value of index return; if knock-out event occurs, par plus lesser of index return and 15%, with exposure to losses
|
| Knock-out event: | Index's closing level is less than initial index level by more than 22% on any day during life of notes
|
| Initial index level: | 1,404.17
|
| Knock-out level: | 1,095.2526, 78% of initial level
|
| Pricing date: | March 16
|
| Settlement date: | March 21
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TPL9
|
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