By Toni Weeks
San Diego, April 25 - Credit Suisse AG, Nassau Branch priced $2.74 million of 0% capped knock-out notes due May 9, 2012 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the closing share price falls by more than 25% from the initial price during the life of the notes.
If a knock-out event does not occur, the payout at maturity is par plus any gain in the stock, subject to a contingent minimum return of 9%.
If a knock-out event occurs, the payout at maturity is par plus the stock return, with full exposure to losses.
In either case, the maximum return is 30%.
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 stock: | Vale SA (NYSE: Vale)
|
| Amount: | $2.74 million
|
| Maturity: | May 9, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If closing share price never falls below 75% of initial price, par plus stock return, with minimum return of 9%; if price falls by more than 25% during life of notes, par plus stock return with exposure to losses; maximum return of 30% in either case
|
| Initial price: | $33.54
|
| Pricing date: | April 21
|
| Settlement date: | April 28
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546E5D2
|
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