By Marisa Wong
Madison, Wis., April 1 - Credit Suisse AG, Nassau Branch priced $3.71 million of 0% buffered return enhanced notes due April 9, 2012 linked to the performance of a basket of currencies relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of the Australian dollar, the Indonesian rupiah, the Singapore dollar and the South Korean won.
If the basket return is greater than 10%, the payout at maturity will be par plus the basket return.
If the basket return is greater than 2% but less than or equal to 10%, the payout will be par plus 10%.
If the basket return is less than or equal to 2% but greater than or equal to negative 5%, the payout will be par.
Investors will lose 1.0526% for every 1% by which the basket return is less than negative 5%.
The return for each currency will be the quotient of (a) its final spot rate relative to the dollar minus its initial spot rate divided by (b) its final spot rate.
The issuer noted that by dividing by the final spot rate instead of the initial spot rate, the currency return for each basket currency is not linear. For example, an increase of 10% in the final spot rate results in a currency return of 9.09%, and a decrease of 10% results in a currency return of negative 11.11%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying currencies: | Australian dollar, Indonesian rupiah, Singapore dollar and South Korean won; relative to the U.S. dollar
|
| Amount: | $3,705,000
|
| Maturity: | April 9, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return if return is greater than 10%; par plus 10% if return is greater than 2% and less than or equal to 10%; par if return is at least negative 5%; 1.0526% loss for every 1% decline beyond 5%
|
| Initial spot rates: | 0.00011477 for rupiah; 0.79182833 for Singapore dollar; 0.00090318 for won; and 1.03115 for Australian dollar
|
| Pricing date: | March 30
|
| Settlement date: | April 4
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 0.75%
|
| Cusip: | 22546E4G6
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
