By Jennifer Chiou
New York, Aug. 20 - Credit Suisse, Nassau branch priced $1.96 million of 0% Accelerated Return Equity Securities due July 19, 2012 linked to the Credit Suisse FX Rolling Optimized Carry Index - Global 18 Unfunded - USD, according to a 424B2 filing with the Securities and Exchange Commission.
The index measures the growth of an optimized portfolio constructed from a universe of 17 currencies against the dollar. It is intended to represent the cumulative net return from a rolling monthly strategy of buying high-yielding currencies and selling low-yielding currencies using one-month currency forwards. The company said this strategy is designed to profit from "forward bias," a foreign-exchange market anomaly where the spot rate of a currency does not, on average, follow its forward rate.
Payout at maturity will be par plus 318% of any index gain. Investors will be exposed to any index decline.
Credit Suisse Securities (USA) LLC will be the underwriter.
| Issuer: | Credit Suisse, Nassau branch
|
| Issue: | Accelerated Return Equity Securities
|
| Underlying index: | Credit Suisse FX Rolling Optimized Carry Index - Global 18 Unfunded - USD
|
| Amount: | $1,955,000
|
| Maturity: | July 19, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 318% of any index gain; exposure to losses
|
| Initial index level: | 231.0699
|
| Pricing date: | Aug. 18
|
| Settlement date: | Aug. 21
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
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