New Issue: Credit Suisse sells $14.97 million buffered return enhanced notes on Asian indexes

By Marisa Wong

Madison, Wis., Aug. 21 - Credit Suisse AG, Nassau Branch priced $14.97 million of 0% buffered return enhanced notes due Sept. 5, 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 Korea Stock Price Index 200 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 Free 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 Korea Stock Price 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore Free.

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 Aug. 30, 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 14.5%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Buffered return enhanced notes
Underlying indexes:	Hang Seng index (25% weight), Korea Stock Price Index 200 (25% weight), Hang Seng China Enterprises index (21% weight), MSCI Taiwan index (20% weight) and MSCI Singapore Free index (9% weight)
Underlying currencies:	Hong Kong dollar for Hang Seng and Hang Seng China Enterprises, Korean won for the Korea Stock Price 200, Taiwan dollar for MSCI Taiwan and Singapore dollar for MSCI Singapore Free
Amount:	$14,972,000
Maturity:	Sept. 5, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus double basket gain, return capped at 14.5%; par if basket return is between zero and negative 10%; 1.1111% loss for every 1% drop beyond 10%
Initial levels:	9,831.12 for Hang Seng China Enterprises, 258.20 for Korea Stock Price, 263.80 for MSCI Taiwan, 20,116.07 for Hang Seng, 351.48 for MSCI Singapore
Initial spot rates:	0.12891 for Hong Kong dollar, 0.00088 for won, 0.03333 for Taiwan dollar, 0.79732 for Singapore dollar
Pricing date:	Aug. 17
Settlement date:	Aug. 22
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546TXX4

© 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.