By Angela McDaniels
Tacoma, Wash., Oct. 26 - Credit Suisse AG, Nassau Branch priced $9.13 million of 0% capped knock-out notes due Nov. 9, 2011 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.
If Vale ADSs decline by more than 31% during the life of the notes, the payout at maturity will be par plus the ADS return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the ADS return and 12%.
In each case, the payout will be subject to a maximum return of 25%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlying ADSs: | Vale SA (NYSE: VALE)
|
| Amount: | $9.13 million
|
| Maturity: | Nov. 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If Vale ADSs decline by more than 31% during life of notes, par plus ADS return with exposure to losses; otherwise, par plus greater of ADS return and 12%; return capped at 25% in each case
|
| Initial ADS price: | $32.07
|
| Pricing date: | Oct. 22
|
| Settlement date: | Oct. 27
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546ED35
|
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