By Jennifer Chiou
New York, April 16 - Credit Suisse AG, Nassau Branch priced $16.76 million of 0% dual directional capped knock-out notes due Oct. 17, 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 final level is less than the initial index level by more than the 20% knock-out buffer.
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 17%.
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 index return.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Dual directional capped knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $16.76 million
|
| Maturity: | Oct. 17, 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 17%; 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 index return
|
| Knock-out event: | Index's final closing level is less than initial index level by more than 20%
|
| Initial index level: | 1,385.65
|
| Pricing date: | April 12
|
| Settlement date: | April 17
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.5%
|
| Cusip: | 22546TRG8
|
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