By Susanna Moon
Chicago, Oct. 26 - Credit Suisse AG, Nassau Branch priced $24.81 million of 0% notes due Nov. 9, 2011 based on a basket of three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
The underlying basket consists of the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight. Their related currencies are the euro, pound sterling and Japanese yen, respectively.
The payout at maturity will be par plus double any basket gain, up to a cap of 18.4% for the Euro Stoxx and 17% for the other indexes.
Based on the underlying caps, the maximum payment at maturity will be $1,177.14 per $1,000 principal amount of notes.
If an index falls by up to 10%, its component return will be zero. Otherwise, the return will be reduced by 1.1111% for every 1% beyond 10%.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (51% weight), FTSE 100 index (25% weight) and Topix index (24% weight)
|
| Amount: | $24,806,000
|
| Maturity: | Nov. 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index component return
|
| Component returns: | 200% of any gain, capped at 18.4% for Euro Stoxx, 17% for Topix and 17% for FTSE 100; 0% minus 1.1111% for every 1% loss beyond 10%
|
| Initial index levels: | 2,873.74 for Euro Stoxx; 5,741.37 for FTSE; 824.88 for Topix
|
| Initial spot rates: | 1.39245 for euro; 1.56695 for pound; 0.012282 for yen
|
| Pricing date: | Oct. 22
|
| Settlement date: | Oct. 27
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546ED27
|
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