By Jennifer Chiou
New York, Oct. 4 - Credit Suisse AG, Nassau Branch priced $780,000 of 0% CS global basket notes due Oct. 5, 2015 linked to the best performing of three baskets consisting of the SPDR S&P 500 ETF trust, the iShares Barclays 20+ Year Treasury Bond fund and the SPDR Gold trust, according to a 424B2 filing with the Securities and Exchange Commission.
Basket A contains a 50% weight of the SPDR S&P 500, a 20% weight of the Treasury bond fund and a 30% weight of the SPDR Gold trust.
Basket B contains a 20% weight of the SPDR S&P 500, a 30% weight of the Treasury bond fund and a 50% weight of the SPDR Gold trust.
Basket C contains a 30% weight of the SPDR S&P 500, a 50% weight of the Treasury bond fund and a 20% weight of the SPDR Gold trust.
The payout at maturity will be par plus the return of the best-performing basket. There is a floor of par.
The final level of each fund will be the average of its closing levels on 10 valuation dates falling in March and September of each year beginning in March 2011.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | CS global basket notes
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Underlying indexes: | SPDR S&P 500 ETF trust, the iShares Barclays 20+ Year Treasury Bond fund and the SPDR Gold trust
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Amount: | $780,000
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Maturity: | Oct. 5, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus the return of the best-performing basket; floor of par
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Initial levels: | 114.12 for SPDR S&P 500 ETF trust, 105.51 for the iShares Barclays 20+ Year Treasury Bond fund and 127.91 for the SPDR Gold trust
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Pricing date: | Sept. 30
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Settlement date: | Oct. 5
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546EZE7
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