By Jennifer Chiou
New York, Feb. 1 - Credit Suisse AG, Nassau Branch priced $40.14 million of 0% buffered return enhanced notes due Feb. 15, 2012 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes 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, British 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 first (a) multiply (i) the quotient of its final level divided by its initial level by (ii) the quotient of the final spot rate of the applicable currency relative to the dollar divided by the initial spot rate and then (b) subtract one. 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 is 16.2% for the Euro Stoxx 50, 16% for the FTSE 100 and 16% for the Topix.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Euro Stoxx 50 (51% weight), FTSE 100 (25% weight) and Topix index (24% weight) and their related currencies, i.e. the euro, British pound sterling and Japanese yen
|
| Amount: | $40,141,000
|
| Maturity: | Feb. 15, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns for basket indexes
|
| Component returns: | If index's underlying return is positive, double the underlying return, subject to cap of 16.2% for Euro Stoxx 50, 16% for FTSE 100 and 16% for Topix; if index's underlying return is less than or equal to zero but not less than negative 10%, zero; otherwise, 0% minus 1.11111% for every 1% that underlying return is less than negative 10%; underlying return is calculated using index return and return of applicable currency relative to dollar
|
| Initial index levels: | 2,954.13 for Euro Stoxx 50; 5,881.37 for FTSE 100; 919.69 for Topix
|
| Initial exchange rates: | 1.3625 for euro; 1.5844 for pound; 0.012064181 for yen
|
| Pricing date: | Jan. 28
|
| Settlement date: | Feb. 2
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 22546ES62
|
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