New Issue: Credit Suisse prices $12.13 million notes on buffered return indexes

By Toni Weeks

San Diego, Feb. 14 - Credit Suisse AG, Nassau Branch priced $12.13 million of 0% notes due Feb. 27, 2013 linked to a weighted basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. Their underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.

The composite return for a basket index will be the product of the underlying return for that index multiplied by the return of that index's underlying currency relative to the dollar. The average composite return will be the average of the index's composite returns on the five trading days ending Feb. 22, 2013, minus one.

If an index's average composite return is greater than or equal to zero, its component return will be double the average composite return, subject to a maximum return of 19.5% for each index. If the index's average composite return is greater than or equal to negative 10% but less than zero, its component return will be zero. If the index's average composite return is less than negative 10%, its component return will be 1.1111 times the sum of the average composite return plus 10%.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Buffered return enhanced notes
Underlying basket:	Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE index (22% weight) and their related currencies (euro, Japanese yen, British pound sterling, respectively)
Amount:	$12,126,000
Maturity:	Feb. 27, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus sum of weighted component returns of basket indexes; if an index's average composite return is greater than or equal to zero, its component return will be double the average composite return on five averaging days; if index's average composite return is less than zero but greater than negative 10%, its component return will be zero; if index's average composite return is less than negative 10%, it's component return will be 1.1111 times the sum of the average composite return plus 10%
Initial index levels:	2,480.76 for Euro Stoxx, 779.07 for Topix and 5,852.39 for FTSE
Initial exchange rates:	1.3189 for euro, 0.01288 for yen, 1.5752 for pound
Pricing date:	Feb. 10
Settlement date:	Feb. 15
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546TMP3

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