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Credit Suisse plans buffered return enhanced notes on index basket
By Susanna Moon
Chicago, July 19 - Credit Suisse AG, Nassau Branch plans to price 0% buffered return enhanced notes due Aug. 8, 2012 linked to a basket of five indexes and their 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.
The notes will price on July 22 and settle on July 27.
The Cusip is 22546TCC3.
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