By Angela McDaniels
Tacoma, Wash., Jan. 24 - Credit Suisse AG, Nassau Branch priced $16.82 million of 0% notes due Feb. 6, 2013 linked to a weighted basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. Their underlying currencies are the euro, the British pound sterling and the Japanese yen, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The composite return for a basket index will be the product of the underlying return for that index multiplied by the return of that index's underlying currency relative to the dollar. The average composite return will be the average of the index's composite returns on the five trading days ending Feb. 1, 2013 minus one.
If an index's average composite return is greater than or equal to zero, its component return will be double the average composite return, subject to a maximum return of 21.3% for each index. If the index's average composite return is greater than or equal to negative 10% but less than zero, its component return will be zero. If the index's average composite return is less than negative 10%, its component return will be 1.1111 times the sum of the average composite return plus 10%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $16,823,000
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| Maturity: | Feb. 6, 2013
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes
|
| Component return: | If index's average composite return is greater than or equal to zero, 200% of average composite return, up to maximum return of 21.3%; if index's average composite return is greater than or equal to negative 10% but less than zero, zero; otherwise, 1.1111 times sum of average composite return plus 10%
|
| Composite return: | Index's underlying return multiplied by return of underlying currency relative to dollar; average composite return equals average of index's composite returns on the five trading days ending Feb. 1, 2013 minus one
|
| Initial index levels: | 2,426.53 for Euro Stoxx 50; 755.47 for Topix; 5,728.55 for FTSE 100
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| Initial spot rates: | 1.29195 for euro; 0.01296681 for yen; 1.5527 for pound
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| Pricing date: | Jan. 20
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| Settlement date: | Jan. 25
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1%
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| Cusip: | 22546TKZ3
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