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Credit Suisse plans buffered enhanced notes on indexes, currencies
By Jennifer Chiou
New York, Jan. 25 - Credit Suisse AG, Nassau Branch plans to price 0% notes due Feb. 15, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.
The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix index.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
For each index, the issuer will multiply its return by the return of the applicable currency relative to the dollar. This will be the underlying return for that index.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The maximum return will not be less than 16.2% for the Euro Stoxx, 16% for the FTSE 100 and 16% for the Topix index.
The ending basket return will be the average of the basket return on the five valuation dates ending on Feb. 10, 2012.
The notes (Cusip: 22546ES62) will price on Jan. 28 and settle on Feb. 2.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
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