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Credit Suisse plans to price notes linked to buffered return enhanced indexes, currencies
By Marisa Wong
Madison, Wis., Feb. 23 - Credit Suisse AG, Nassau Branch plans to price 0% notes due March 14, 2012 linked to a basket of three buffered return enhanced components and their related currencies, according to a 424B2 filing 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. Their related currencies are the euro, British pound sterling and Japanese yen, respectively.
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 underlying return will be the return of the index multiplied by the return of its related currency relative to the dollar. The final level of each index or currency will be the average of its closing levels on the five trading days ending March 9, 2012.
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 flat or negative but not less than negative 10%, its component return will be 0%. 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 cap is 16% for the Euro Stoxx 50, 13.25% for the FTSE 100 and 13.08% for the Topix. The maximum payout at maturity is $1,146.12 per $1,000 principal amount of notes.
The notes (Cusip: 22546EX74) will price on Feb. 25 and settle on March 2.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
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