By Marisa Wong
Madison, Wis., Dec. 12 - Credit Suisse AG, Nassau Branch priced $2 million of 0% absolute return barrier securities due Jan. 13, 2014 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission.
A trigger event occurs if the closing price of Apple stock is greater than or equal to the trigger price on a review date. The trigger price is 104% of the initial share price on April 10, 108% of the initial price on Aug. 8, 2013 and 112% of the initial price on Dec. 10, 2013.
If a trigger event occurs on any review date, the securities are putable at par plus an early redemption premium. The premium is 4% for the first review date, 8% for the second date and 12% for the third.
A knock-in event occurs if Apple stock closes below the knock-in price on any day during the life of the notes. The knock-in price is 63% of the initial share price.
If the stock finishes at or above the initial price, the payout at maturity will be par plus the gain, up to a maximum return of 13.6%.
If the stock finishes below the initial price and a knock-in event has not occurred, the payout will be par plus 40% times the absolute value of the stock return.
Otherwise, investors will receive par plus the stock return with full exposure to losses.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return barrier securities
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| Underlying stock: | Apple Inc. (Nasdaq: AAPL)
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| Amount: | $2 million
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| Maturity: | Jan. 13, 2014
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If stock finishes at or above initial price, par plus gain, capped at 13.6%; if stock finishes below initial price and knock-in event has not occurred, par plus 40% times absolute value of stock return; otherwise, par plus stock return with full exposure to losses
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| Knock-in event: | Apple stock closes below knock-in price on any day during life of notes
|
| Put option: | At par plus early redemption premium of 4% for first review date, 8% for second date and 12% for third if trigger event occurs
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| Trigger event: | Closing price of Apple stock is greater than or equal to trigger price on review date; trigger price is 104% of initial share price on April 10, 108% of initial price on Aug. 8, 2013 and 112% of initial price on Dec. 10, 2013
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| Initial share price: | $529.77
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| Knock-in price: | $333.7551, 63% of initial share price
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| Pricing date: | Dec. 10
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| Settlement date: | Dec. 13
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22546TN80
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