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Credit Suisse plans buffered return enhanced notes on Asian indexes
By Jennifer Chiou
New York, Oct. 19 - Credit Suisse AG, Nassau Branch plans to price 0% buffered return enhanced notes due Nov. 9, 2011 linked to a basket of indexes and their related currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 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 index, the issuer will multiply its final return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Stock Price 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar. The final return of each index or currency will be its final level divided by its initial level.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 14.75%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
The notes (Cusip: 22546EC93) are expected to price on Oct. 22 and settle on Oct. 27.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
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