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Credit Suisse to sell buffered return enhanced notes on Asian indexes
By Susanna Moon
Chicago, July 7 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due July 29, 2010 linked to a basket of indexes and their related currencies, according to an FWP filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
The basket consists of the Hang Seng China Enterprises index with a 34% weight, the MSCI Taiwan index with a 22% weight, the Korea Stock Price Index 200 with a 21% weight, the Hang Seng index with a 15% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiple 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 Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, up to a maximum return of at least 23.3%. The exact cap will be set at pricing.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
The notes are expected to price on July 10 and settle on July 15.
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