By Marisa Wong
Madison, Wis., April 3 - Credit Suisse AG, Nassau Branch priced $12.04 million of 0% dual directional capped knock-out notes due April 17, 2013 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
A knock-out event occurs if the final share price is less than the initial share price by more than 20%.
If a knock-out event has occurred, investors will be fully exposed to the decline in the share price.
If a knock-out event has not occurred and the final share price is greater than the initial share price, the payout at maturity will be par plus the lesser of the stock return and the maximum upside return of 20%.
If a knock-out event has not occurred and the stock price stays flat or falls, the payout will be par plus the absolute value of the stock return, up to a maximum payment of $1,200 per $1,000 principal amount.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Dual directional capped knock-out notes
|
| Underlying stock: | Apple Inc. (Symbol: AAPL)
|
| Amount: | $12.04 million
|
| Maturity: | April 17, 2013
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | If final share price is less than initial share price by more than 20%, full exposure to decline; if final share price is greater than initial share price, par plus lesser of stock return and 20%; if stock price stays flat or falls by up to 20%, par plus absolute value of stock return, up to a maximum payment of $1,200 per note
|
| Initial price: | $599.55
|
| Knock-out price: | $479.64, 80% of initial price
|
| Pricing date: | March 30
|
| Settlement date: | April 4
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TQF1
|
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