By Jennifer Chiou
New York, Sept. 21 - Credit Suisse AG, Nassau Branch priced $3.5 million of 0% Buffered Accelerated Return Equity Securities due Sept. 29, 2014 linked to the Euro Stoxx 50 index and the euro relative to the dollar, according to an FWP with the Securities and Exchange Commission.
The composite return will be the index return multiplied by the currency return. The redemption amount will be the principal amount held multiplied by the sum of 1 plus the underlying return.
If the composite return is at or greater than 1.0, the underlying return will be par plus two times the composite return, capped at 35%.
Investors will receive par if the composite return is less than 1.0 but not by more than the 20% buffer amount. Otherwise, the underlying return will be equal to 125% downside participation rate times the sum of composite return minus 1, plus the buffer amount.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered Accelerated Return Equity Securities
|
| Underlying components: Euro Stoxx 50 index and euro relative to dollar
|
| Amount: | $3.5 million
|
| Maturity: | Sept. 29, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus two times composite return if return is at or greater than 1.0, capped at 35%; par if composite return is less than 1.0 but not by more than the 20% buffer amount; 1.25% loss for every 1% decline if composite return is less than 1.0 by more than buffer
|
| Initial index level: | 2,577.08
|
| Initial spot rate: | 1.29890
|
| Pricing date: | Sept. 21
|
| Settlement date: | Sept. 28
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Selling concession: | 0.25%
|
| Cusip: | 22546TZS3
|
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