By Angela McDaniels
Tacoma, Wash., Jan. 31 - Credit Suisse AG, Nassau Branch priced $10.94 million of 0% buffered return enhanced notes due Feb. 13, 2013 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
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 its initial spot rate. Each index's final level will be the average of its closing levels on the five trading days ending Feb. 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%. 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%.
| 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: | $10,935,000
|
| Maturity: | Feb. 13, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 15%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 11,446.52 for Hang Seng China Enterprises, 258.65 for Kospi, 267.51 for MSCI Taiwan, 20,501.67 for Hang Seng and 333.66 for MSCI Singapore
|
| Initial exchange rates: | 0.12895489 for Hong Kong dollar, 0.00089035 for won, 0.03338341 for Taiwan dollar and 0.79782990 for Singapore dollar
|
| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546TLL3
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