By Angela McDaniels
Tacoma, Wash., Sept. 11 - Credit Suisse AG, Nassau Branch priced $3 million of 0% capped knock-out notes due Sept. 25, 2013 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index's closing level is less than the initial level by more than 20% on any day during the life of the notes.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the index return and 3.5%. If a knock-out event has occurred, the payout will be par plus the index return, which could be positive or negative. In each case, the payout will be subject to a maximum return of 20%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlying index: | S&P MidCap 400
|
| Amount: | $3 million
|
| Maturity: | Sept. 25, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index declines by more than 20% during life of notes, par plus index return; otherwise, par plus greater of index return and 3.5%; return capped at 20% in each case
|
| Initial index level: | 1,004.60
|
| Pricing date: | Sept. 7
|
| Settlement date: | Sept. 12
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TZF1
|
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