By Marisa Wong
Madison, Wis., July 6 - Credit Suisse AG, Nassau Branch priced $26.3 million of 0% notes due July 25, 2012 linked to three buffered return enhanced components and their related currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight. Their related currencies are the euro, pound and 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 July 20, 2012.
If an index finishes above the initial level, its component return will be double the underlying return, up to a maximum return. If an index falls by up to 10%, its component return will be zero.
If an index falls by more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%.
The cap is 17.5% for each of the indexes. The maximum payout at maturity is $1,175 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 and related currencies
|
| Underlying components: | Euro Stoxx 50 index (53% weight), FTSE 100 index (24% weight) and Topix index (23% weight); related currencies are euro, pound and yen, all relative to the dollar
|
| Amount: | $26,299,000
|
| Maturity: | July 25, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 17.5%; zero if index falls by up to 10%; 0% minus 1.1111% for every 1% drop beyond 10%
|
| Initial levels: | 2875.67 for Euro Stoxx; 5989.76 for FTSE; 853.86 for Topix
|
| Initial spot rates: | 1.4483 for euro; 1.6046 for pound; 0.0124 for yen
|
| Pricing date: | July 1
|
| Settlement date: | July 7
|
| Agent: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TBN0
|
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