Published on 10/26/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $23.11 million buffered return notes on Asian indexes via JPM
By Susanna Moon
Chicago, Oct. 26 - Credit Suisse AG, Nassau Branch priced $23.11 million of 0% buffered return enhanced notes due Nov. 9, 2011 based on a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Kospi 200 index with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight.
To determine the return for each component, the issuer will multiply the index return by the return of the applicable currency - 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 - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 14.75%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (33% weight), Kospi 200 index (25% weight), MSCI Taiwan index (19% weight), Hang Seng index (14% weight) and MSCI Singapore index (9% weight)
|
| Amount: | $23,111,000
|
| Maturity: | Nov. 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 14.75%; 1.1111% loss for every 1% drop beyond 10%
|
| Initial index levels: | 13,494.80 for Hang Seng China, 245.84 for Kospi, 287.97 for MSCI Taiwan, 23,517.54 for Hang Seng and 374.94 for MSCI Singapore
|
| Initial spot rates: | 0.128797929 for Hong Kong dollar, 0.000890298 for won, 0.032458048 for Taiwan dollar and 0.769645194 for Singapore dollar
|
| Pricing date: | Oct. 22
|
| Settlement date: | Oct. 27
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 22546EC93
|
© 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.
