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Credit Suisse plans buffered return enhanced notes on Asian indexes
By Marisa Wong
Madison, Wis., Oct. 9 - Credit Suisse AG, Nassau Branch plans to price 0% buffered return enhanced notes due Oct. 30, 2013 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
The basket includes the Hang Seng index with a 25% weight, the Korea Stock Price Index 200 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 Free 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 Free.
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 Oct. 25, 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 that is expected to be 12.5% and will be set at pricing. 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%.
The notes are expected to price Oct. 12 and settle Oct. 17.
The Cusip number is 22546TD65.
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