By Jennifer Chiou
New York, May 8 - Credit Suisse AG, Nassau Branch priced $2.2 million of 0% absolute return barrier securities due Nov. 7, 2013 linked to the common stock of Cree, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the final price of Cree stock is less than or equal to the knock-in price, which is 50% of the initial share price.
If the final share price is greater than or equal to the initial share price, the payout at maturity will be par plus the stock return, subject to a maximum return of 48%.
If the final share price is less than the initial share price and a knock-in event does not occur, the payout will be par plus the absolute value of the stock return.
If the final share price is less than the initial share price and a knock-in event does occur, the payout will be a number of Cree shares equal to $1,000 divided by the initial share price.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying stock: | Cree, Inc. (Nasdaq: CREE)
|
| Amount: | $2.2 million
|
| Maturity: | Nov. 7, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than or equal to initial share price, par plus stock return, subject to maximum return of 48%; if final share price is less than initial share price and greater than knock-in price, par plus absolute value of stock return; if final share price is less than or equal to knock-in price, Cree shares equal to $1,000 divided by the initial share price
|
| Initial share price: | $31.83
|
| Knock-in price: | $15.915, 50% of initial share price
|
| Pricing date: | May 4
|
| Settlement date: | May 9
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TTB7
|
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