By Toni Weeks
San Diego, Nov. 13 - Credit Suisse AG, Nassau Branch priced $42 million of 0% buffered return enhanced notes due Nov. 27, 2013 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
The basket includes the Hang Seng China Enterprises index with a 30% weight, the Korea Stock Price Index 200 with a 26% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 15% weight and the MSCI Singapore Free index with a 10% weight.
The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.
The basket return will equal the sum of the weighted component returns for the basket indexes.
The component return for each basket index will be the product of (a) its final level divided by its initial level multiplied by (b) the final spot rate of its related currency relative to the U.S. dollar divided by its initial spot rate. Each index's final level will be the average of its closing levels on the five trading days ending Nov. 8, 2013.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket return, subject to a maximum return of 11.6%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (30% weight), Korea Stock Price Index 200 (26% weight), MSCI Taiwan index (19% weight), Hang Seng index (15% weight) and MSCI Singapore Free index (10% weight) and their related currencies
|
| Amount: | $41,996,000
|
| Maturity: | Nov. 27, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 11.6%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 10,454.85 for Hang Seng China Enterprises, 248.69 for Kospi, 262.07 for MSCI Taiwan, 21,384.38 for Hang Seng and 339.92 for MSCI Singapore
|
| Final index levels: | Average of closing levels on five trading days ending Nov. 22, 2013
|
| Initial exchange rates: | 0.12901 for Hong Kong dollar, 0.00092 for won, 0.03443 for Taiwan dollar and 0.81693 for Singapore dollar
|
| Pricing date: | Nov. 9
|
| Settlement date: | Nov. 15
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TJ51
|
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