By Susanna Moon
Chicago, Feb. 10 - Credit Suisse AG, Nassau Branch priced $1.25 million of 0% absolute return barrier securities due Aug. 11, 2015 linked to Amazon.com Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if Amazon.com stock ever closes at or below the knock-in price - 75% of the initial price - on any day during the life of the notes.
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 30%.
If the stock finishes below the initial price and a knock-in event has not occurred, the payout will be par plus the absolute value of the stock return, up to a cap of 25.999%.
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
|
| Underlying stock: | Amazon.com Inc. (Symbol: AMZN)
|
| Amount: | $1.25 million
|
| Maturity: | Aug. 11, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If stock gains, par plus return, capped at 30%; if stock falls but never dips below barrier level, par plus absolute value of stock return, capped at 25.999%; otherwise, par plus return with full exposure to losses
|
| Initial share price: | $349.67
|
| Knock-in price: | $258.7558, 75% of initial share price
|
| Pricing date: | Feb. 6
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| Settlement date: | Feb. 11
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22547QH74
|
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