By Marisa Wong
Madison, Wis., Feb. 28 - Credit Suisse AG, Nassau Branch priced $14.43 million of 0% buffered return enhanced notes due March 13, 2013 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Hang Seng index with a 25% weight, the Kospi 200 index with a 25% weight, the Hang Seng China Enterprises index with a 21% weight, the MSCI Taiwan index with a 20% weight and the MSCI Singapore index with a 9% 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 the initial spot rate. Each index's final level will be the average of its closing levels on the five trading days ending March 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 15.6%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% basket decline beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng index (25% weight), Kospi 200 index (25% weight), Hang Seng China Enterprises index (21% weight), MSCI Taiwan index (20% weight) and MSCI Singapore index (9% weight) and their related currencies
|
| Amount: | $14,427,000
|
| Maturity: | March 13, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 15.6%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 11,689.84 for Hang Seng China Enterprises, 265.20 for Kospi, 282.57 for MSCI Taiwan, 21,406.86 for Hang Seng and 345.47 for MSCI Singapore
|
| Initial exchange rates: | 0.1289665 for Hong Kong dollar, 0.00088849 for won, 0.0338221 for Taiwan dollar and 0.79652714 for Singapore dollar
|
| Pricing date: | Feb. 24
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| Settlement date: | Feb. 29
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA (placement)
|
| Fees: | 1%
|
| Cusip: | 22546TMZ1
|
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