New Issue: Credit Suisse prices $5.35 million accelerated return notes on Asian indexes, fund

By Toni Weeks

San Luis Obispo, Calif., March 27 - Credit Suisse AG, Nassau Branch priced $5.35 million of 0% accelerated return securities due Sept. 28, 2016 linked to a basket of equally weighted indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying basket components are the Hang Seng China Enterprises index, the MSCI Taiwan index, the Hang Seng index, the MSCI Singapore Free index and the iShares MSCI Emerging Markets index fund.

The payout at maturity will be par plus 120.5% of any basket gain.

Investors will receive par if the basket falls by up to 30% and will be fully exposed to losses if the basket drops below the 70% knock-in level.

Barclays is the agent.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Accelerated return securities
Underlying basket components:	Hang Seng China Enterprises index, MSCI Taiwan index, Hang Seng index, MSCI Singapore Free index and iShares MSCI Emerging Markets index fund
Amount:	$5,351,000
Maturity:	Sept. 28, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 120.5% of any basket gain; par if basket falls by 30% or less on Sept. 26, 2016 valuation date; full exposure to losses if basket falls below knock-in level
Initial basket level:	100
Knock-in level:	70% of initial level
Initial component levels:	10,925.13 for Hang Seng China, 281.92 for MSCI Taiwan, 22,311.08 for Hang Seng, 372.58 for MSCI Singapore Free and $42.52 for iShares MSCI EM
Pricing date:	March 26
Settlement date:	March 28
Agent:	Barclays
Fees:	2.75%
Cusip:	22546T4K4

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