By Jennifer Chiou
New York, April 5 - Credit Suisse AG, Nassau Branch priced $257.19 million of 0% autocallable index knock-out notes due May 2, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
If the index closes at or above 107% of its initial level on any review date, the notes will be automatically called at 107% of par. The review dates are the third business day of each week.
If the notes are not called and the index falls to or below the knock-out level - 20% below the initial level - during the life of the notes, the payout at maturity will be par plus the index return.
If the notes are not called and the index remains above the knock-out level, the payout will be par plus the greater of the index return and 0%.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $257,191,000
|
| Maturity: | May 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index declines by 20% or more during life of notes, par plus index return; otherwise, par plus greater of index return and 0%
|
| Call: | Automatically at par plus 7% if index closes at or above 107% of initial level on the third business day of any week
|
| Initial index level: | 1,178.10
|
| Pricing date: | April 1
|
| Settlement date: | April 7
|
| Agent: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 0.8%
|
| Cusip: | 22546EUD4
|
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