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Credit Suisse plans notes linked to buffered return enhanced indexes
By Angela McDaniels
Tacoma, Wash., July 17 - Credit Suisse AG, Nassau Branch plans to price 0% notes due Aug. 7, 2013 linked to a weighted basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC and JPMorgan Chase Bank NA are the agents.
The basket includes the Euro Stoxx 50 index with a 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. The indexes' underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The composite return for a basket index will be the product of the underlying return for that index multiplied by the return of that index's underlying currency relative to the dollar. The average composite return will be the average of the index's composite returns on the five trading days ending Aug. 7, 2013 minus one.
If an index's average composite return is greater than or equal to zero, its component return will be double the average composite return, subject to a maximum return of at least 20.5% for each index. The exact cap will be set at pricing. If the index's average composite return is greater than or equal to negative 10% but less than zero, its component return will be zero. If the index's average composite return is less than negative 10%, its component return will be 1.1111 times the sum of the average composite return plus 10%.
The notes are expected to price July 20 and settle July 27.
The Cusip number is 22546TWP2.
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