New Issue: Credit Suisse prices $200,000 0% notes linked to index, fund basket

By Jennifer Chiou

New York, July 2 - Credit Suisse AG, Nassau Branch priced $200,000 of 0% CS notes due July 6, 2015 linked a basket containing one index and four index funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 50% weight, the iShares Barclays TIPS Bond fund with a 25% weight, the iShares MSCI EAFE index fund with a 10% weight, the SPDR Gold Trust with a 10% weight and the iShares MSCI Emerging Markets index fund with a 5% weight.

The payout at maturity will be par plus any basket gain. If the basket falls, the payout will be par.

The final basket level will be the average of its levels on June 30, 2011, June 29, 2012, June 28, 2013, June 30, 2014 and June 30, 2015.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	CS notes
Underlying basket:	S&P 500 index (50% weight), iShares Barclays TIPS Bond fund (25% weight), iShares MSCI EAFE index fund (10% weight), SPDR Gold Trust (10% weight) and iShares MSCI Emerging Markets index fund (5% weight)
Amount:	$200,000
Maturity:	July 6, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain, floor of par
Initial levels:	1,030.71 for S&P, $106.91 for Barclays TIPS, $46.51 for MSCI EAFE, $121.68 for SPDR Gold and $37.32 for MSCI EM
Final basket level:	Average of closing levels on June 30, 2011, June 29, 2012, June 28, 2013, June 30, 2014 and June 30, 2015
Pricing date:	June 30
Settlement date:	July 6
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22546EWB6

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