By Jennifer Chiou
New York, Nov. 21 - Credit Suisse AG, Nassau Branch priced $6.47 million of 0% buffered return enhanced notes due Dec. 5, 2012 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 China Enterprises index with a 21% weight, the Korea Composite Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 25% 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 Korea Composite Stock Price, 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 on Nov. 30, 2012.
If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return of 16.5%. 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 China Enterprises (21% weight), Korea Composite Stock Price Index 200 (25% weight), MSCI Taiwan (20% weight), Hang Seng (25% weight) and MSCI Singapore (9% weight) and their related currencies
|
| Amount: | $6,465,000
|
| Maturity: | Dec. 5, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 16.5%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 9,957.40 for Hang Seng Enterprises; 239.43 for Korea Composite 200; 257.35 for MSCI Taiwan; 18,491.23 for Hang Seng; 311.15 for MSCI Singapore
|
| Initial exchange rates: | 0.12842163for Hong Kong dollar; 0.00087804for Korean won; 0.03305676for Taiwan dollar; 0.77106947for Singapore dollar
|
| Pricing date: | Nov. 18
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| Settlement date: | Nov. 23
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546THD6
|
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