By Susanna Moon
Chicago, March 5 - Credit Suisse AG, Nassau Branch priced $233,000 of 0% accelerated return notes due Aug. 17, 2016 linked to a basket of two equally weighted funds, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying funds are the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund.
The payout at maturity will be par plus 1.3 times any basket gain.
Investors will receive par if the basket falls by up to 30% and will be fully exposed to any losses if the basket finishes below the knock-in level.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Accelerated return notes
|
| Underlying basket: | iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund, equally weighted
|
| Amount: | $233,000
|
| Maturity: | Aug. 17, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 130% of any basket gain; par if basket fall by 30% or more; full exposure to any losses if basket falls below knock-in level
|
| Initial level: | $58.18 for EAFE fund, $43.21 for EM
|
| Knock-in level: | 70% of initial level
|
| Pricing date: | Feb. 28
|
| Settlement date: | March 5
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TW80
|
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