By Marisa Wong
Madison, Wis., Feb. 28 - Credit Suisse AG, Nassau Branch priced $18.19 million of 0% notes due March 13, 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 March 8, 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 19.6%. 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: | Notes
|
| Underlying indexes: | Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $18,194,000
|
| Maturity: | March 13, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes; if index's average composite return is greater than or equal to zero, component return will be double average composite return, subject to cap of 19.6%; if index's average composite return is greater than or equal to negative 10% but less than zero, component return will be zero; otherwise, component return will be 1.1111 times sum of the average composite return plus 10%
|
| Initial levels: | 2,523.69 for Euro Stoxx, 5,935.13 for FTSE, 834.29 for Topix
|
| Initial spot rates: | 1.3463 for euro, 1.58575 for pound, 0.0123939 for yen
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 29
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA (placement agents)
|
| Fees: | 1%
|
| Cusip: | 22546TMT5
|
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