By Susanna Moon
Chicago, July 29 - Credit Suisse AG, Nassau Branch priced $374,000 of 0% CS global basket notes due Aug. 1, 2016 based on the best performing of three baskets consisting of the SPDR S&P 500 ETF trust, the iShares Barclays 20+ Year Treasury Bond fund and the SPDR Gold trust, according to an FWP filing with the Securities and Exchange Commission.
Basket A consists of the SPDR S&P with a 50% weight, the iShares Barclays Treasury fund with a 20% weight and the SPDR Gold with a 30% weight.
Basket B consists of the SPDR S&P with a 20% weight, the iShares Barclays Treasury fund with a 30% weight and the SPDR Gold with a 50% weight.
Basket C consists of the SPDR S&P with a 30% weight, the iShares Barclays Treasury fund with a 50% weight and the SPDR Gold with a 20% weight.
The payout at maturity will be par plus the return of the best-performing basket.
Investors will receive at least par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | SPDR S&P 500 ETF trust, the iShares Barclays 20+ Year Treasury Bond fund and the SPDR Gold trust
|
| Amount: | $374,000
|
| Maturity: | Aug. 1, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the return of the best-performing basket; floor of par
|
| Initial levels: | $111.55 for SPDR S&P, $98.65 for iShares Barclays Treasury and $113.51 for SPDR Gold
|
| Pricing date: | July 27
|
| Settlement date: | July 30
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.25%
|
| Cusip: | 22546EXE9
|
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