By Jennifer Chiou
New York, Nov. 23 - Credit Suisse AG, Nassau Branch priced $21.03 million of 0% notes due Dec. 7, 2011 linked to a basket of three buffered return enhanced components and their related currencies, according to a424B2 with the Securities and Exchange Commission.
The components are 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 the basket return, which will equal the sum of the weighted component returns for the basket indexes.
For each index, the issuer will multiply its return by the return of the applicable currency relative to the dollar. This will be the underlying return for that index.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap will be 17.75% for the Euro Stoxx 50, 15.45% for the FTSE 100 and 15.4% for the Topix. Because of these caps, the maximum payout at maturity will be $1,166.11 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced component notes
|
| Underlying assets: | Euro Stoxx 50 index (51% weight), FTSE 100 index (25% weight), Topix index (24% weight), related currencies
|
| Amount: | $21,032,000
|
| Maturity: | Dec. 7, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index's underlying return is positive, component return will be double the underlying return, subject to cap; if underlying return is less than or equal to zero but not less than negative 10%, component return of zero; if an index's underlying return is less than negative 10%, component return of 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%; cap of 17.75% for the Euro Stoxx 50, 15.45% for the FTSE 100 and 15.4% for the Topix; maximum payout of $1,166.11 per $1,000 principal amount
|
| Initial levels: | Euro Stoxx 50 at 2,845.75 and 1.36615 dollars per euro; FTSE 100 at 5,732.83 and 1.59520 pounds per dollar; Topix at 869.52 and 0.011982 yen per dollar
|
| Pricing date: | Nov. 19
|
| Settlement date: | Nov. 24
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546EJ21
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