By Marisa Wong
Madison, Wis., April 28 - Credit Suisse AG, Nassau Branch priced $80.46 million of 0% notes due May 2, 2012 linked to a basket of three buffered return enhanced components and their related currencies, according to a 424B2 filing 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, 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 underlying return will be the return of the index multiplied by the return of its related currency relative to the dollar. The final level of each index or currency will be the average of its closing levels on the five trading days ending April 27, 2012.
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 flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The cap is 18.8% for the Euro Stoxx 50, 13.88% for the FTSE 100 and 13.1% for the Topix. The maximum payout at maturity is $1,162.02 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: | 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) and their related currencies, the euro, pound and yen
|
| Amount: | $80,463,000
|
| Maturity: | May 2, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns; payment capped at $1,162.02 per note
|
| Component returns: | Double any positive return, capped at 18.8% for Euro Stoxx, 13.88% for FTSE 100 and 13.1% for the Topix; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2936.60 for Euro Stoxx 50; 6018.30 for FTSE 100; 841.72 for Topix
|
| Initial spot rates: | 1.4571 for euro; 1.6570 for pound; 0.0122339 for yen
|
| Pricing date: | April 21
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| Settlement date: | April 28
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546E5E0
|
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