Published on 7/26/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $31.83 million notes on buffered return enhanced indexes, currencies
By Jennifer Chiou
New York, July 26 - Credit Suisse AG, Nassau Branch priced $31.83 million of 0% buffered return enhanced notes due Aug. 8, 2012 linked to five Asian indexes and related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Hang Seng China Enterprises index with a 30% weight, the Kospi 200 index with a 27% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight. Their related currencies are the Hong Kong dollar, the Korean won, Taiwan dollar and Singapore dollar.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 12.4%.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
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 components: | Hang Seng China Enterprises index (30% weight), Kospi 200 index (27% weight), MSCI Taiwan index (20% weight), Hang Seng index (14% weight) and MSCI Singapore index (9% weight) and related currencies
|
| Amount: | $31,834,000
|
| Maturity: | Aug. 8, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to a maximum return of 12.4%; par for losses up to 10% and 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 12,598.77 for Hang Seng China; 282.59 for Kospi; 306.75 for MSCI Taiwan; 22,444.80 for Hang Seng; 368.58 for MSCI Singapore
|
| Initial spot rates: | 0.1283524 for Hong Kong dollar; 0.00095066 for Korean won; 0.03470656 for Taiwan dollar; 0.82771179 for Singapore dollar
|
| Pricing date: | July 22
|
| Settlement date: | July 29
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | None
|
| Cusip: | 22546TCC3
|
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