By Toni Weeks
San Diego, June 30 - Credit Suisse AG, Nassau Branch priced $5 million of 0% buffered return enhanced notes due July 5, 2013 linked to a basket of four currencies relative to the Canadian dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying currencies are the euro, the dollar, the British pound sterling and the Japanese yen.
Of the basket components, the currency with the greatest return will have a 40% weight, the currency with the second greatest return will have a 30% weight, the currency with the third greatest return will have a 20% weight and the currency with the fourth greatest return will have a 10% weight.
If the basket return is greater than or equal to zero, the payout at maturity will be par plus 1.3 times the basket return.
Investors will receive par if the basket falls by up to 15% and will lose 1% for every 1% decline in the basket beyond 15%.
J.P. Morgan Securities LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Buffered return enhanced notes
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Underlying currencies: | Euro, U.S. dollar, British pound sterling and Japanese yen, each relative to the Canadian dollar; highest-return currency with 40% weighting, currency with second highest return with 30% weighting, currency with third highest return with 20% weighting and currency with fourth highest return with 10% weighting
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Amount: | $5 million
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Maturity: | July 5, 2013
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 130% of any basket gain; 1% loss per 1% drop beyond 15%
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Initial exchange rates: | 1.41382 for euro, 0.98435 for dollar, 1.57526 for pound and 0.012185 for yen
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Pricing date: | June 28
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Settlement date: | July 1
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.25%
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Cusip: | 22546TBG5
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