By Angela McDaniels
Tacoma, Wash., Jan. 14 - Credit Suisse AG, Nassau Branch priced $3 million of 2% buffered accelerated return equity securities due Jan. 17, 2017 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 70% weight, the iShares MSCI EAFE index fund with a 15% weight, the S&P MidCap 400 index with an 8% weight, the iShares MSCI Emerging Markets index fund with a 4% weight and the Russell 2000 index with a 3% weight.
Interest is payable semiannually.
If the final basket level is greater than or equal to 0.85, the payout at maturity will be par plus 103.5% of the averaging return, which will be the greater of (a) the average of the basket returns on the quarterly averaging dates and (b) zero.
If the final basket level is less than 0.85, the payout will be par plus (a) the sum of the basket return and 15% and (b) 103.5% of the averaging return.
The prospectus notes that if the final basket level is less than the initial basket level by more than 15% plus 103.5% of the averaging return, investors will receive less than par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Buffered accelerated return equity securities
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| Underlying basket: | S&P 500 index (70% weight), iShares MSCI EAFE index fund (15% weight), S&P MidCap 400 index (8% weight), iShares MSCI Emerging Markets index fund (4% weight) and Russell 2000 index (3% weight)
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| Amount: | $3 million
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| Maturity: | Jan. 17, 2017
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| Coupon: | 2%, payable semiannually
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| Price: | Par
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| Payout at maturity: | If final basket level is greater than or equal to 0.85, par plus 103.5% of averaging return; otherwise, par plus (a) sum of basket return and 15% and (b) 103.5% of averaging return
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| Averaging return: | Average of basket returns on quarterly averaging dates, subject to minimum of zero
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| Initial levels: | 1,472.12 for S&P 500; $57.92 for iShares MSCI EAFE; 1,058.01 for S&P MidCap 400; $44.82 for iShares MSCI Emerging Markets; 881.24 for Russell 2000
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| Pricing date: | Jan. 10
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| Settlement date: | Jan. 15
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22546TT68
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