By Angela McDaniels
Tacoma, Wash., April 11 - Credit Suisse AG, Nassau Branch priced $1.12 million of 0% buffered return enhanced notes due April 17, 2012 linked to the performance of a basket of currencies relative to the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of the Australian dollar, the Indonesian rupiah, the Singapore dollar and the South Korean won. The basket will increase if the currencies appreciate relative to the yen.
If the basket return is greater than 7.5%, the payout at maturity will be par plus the basket return.
If the basket return is greater than 2% but less than or equal to 7.5%, the payout will be par plus 7.5%.
If the basket return is greater than or equal to negative 5% but less than or equal to 2%, the payout will be par.
Investors will lose 1.0526% for every 1% that the basket return is less than negative 5%.
The return for each currency will be the quotient of (a) its final spot rate relative to the dollar minus its initial spot rate divided by (c) its final spot rate.
The issuer noted that by dividing by the final spot rate instead of the initial spot rate, the currency return for each basket currency is not linear - e.g., an increase of 10% in the final spot rate results in a currency return of 9.09%, and a decrease of 10% results in a currency return of negative 11.11%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying currencies: | Australian dollar, Indonesian rupiah, Singapore dollar and South Korean won, equally weighted and each relative to Japanese yen
|
| Amount: | $1.12 million
|
| Maturity: | April 17, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus greater of basket return and 7.5% if basket return is greater than 2%; par if basket return is greater than or equal to negative 5% but less than or equal to 2%; 1.0526% loss for every 1% decline beyond 5%
|
| Initial spot rates: | 0.0098255 for rupiah; 67.63981 for Singapore dollar; 0.078503 for won; 89.59611 for Australian dollar
|
| Pricing date: | April 8
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| Settlement date: | April 12
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 0.75%
|
| Cusip: | 22546E4P6
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