By Angela McDaniels
Tacoma, Wash., March 4 - Credit Suisse AG, Nassau Branch priced $10.86 million of 0% return enhanced notes due June 9, 2011 linked to the Euro Stoxx 50 index and the euro, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 200% of any appreciation of the index multiplied by the performance of the euro relative to the dollar, subject to a maximum return of 18%. Specifically, investors will receive (a) $1,000 multiplied by (b) one plus (i) the underlying index return multiplied by the currency return minus one multiplied by (ii) two.
If the index return multiplied by the performance of the euro is less than one, investors will be exposed to the decline.
The index return equals the final index level divided by the initial level, and the currency return equals the final spot rate divided by the initial spot rate. The spot rate expresses the number of dollars per euro. For both the index and the spot rate, the final level will be averaged over the five trading day ending June 6, 2011.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Return enhanced notes
|
| Underlyings: | Euro Stoxx 50 index, euro
|
| Amount: | $10,857,000
|
| Maturity: | June 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of the product of the index return multiplied by the currency return if that results in a positive return; full exposure to the decline if the return is negative
|
| Initial levels: | 2,949.18 for index and 1.399 for euro
|
| Pricing date: | March 4
|
| Settlement date: | March 9
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 0.25%
|
| Cusip: | 22546E2K9
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
