CSTopixCall Spread ([245]%)EIS
Indicative Factsheet - For Professional Intermediaries Only – 28thAugust 2013
Investment Summary / Key Facts
This Japanese (Topix) investment isaimed at thoseinvestors searching for geared exposure to Japan, but who require some downside protection.
The Credit Suisse TopixCall Spread ([245%]) EISincorporates:
  • [245]% participation in the first 40% rise of the Topix*from its initial level, which leads to a maximum return at maturity of 98%. This means that the Topix* must rise by more than 98% over the term of the trade for it to outperform the Credit Suisse Topix Call Spread ([245%]) EIS.
  • Asoft protection level of 60%,i.e. capital protected if the Topix* is above 60% of its initial level at maturity.
  • Exposure to one of the safest banks as measured by CDS spreads and credit ratings.
*The Topix performance is subject to the daily FX hedging mechanism explained briefly below. For further information on this mechanism please call us. / Type / EIS
Issuer / Credit Suisse AG
Rating / A1 (Moody’s) / A (S&P)
Underlying Index / Topix
Currency / GBP
Maturity / 6 years
Denomination / GBP 1
Upside / [245]% of the first 40% rise in the index from its Initial level*
Subject to monthly averaging in the final year.
Soft Protection Level / 60% of Initial (observed at maturity only)
Initial Index Level / TBD
Strike Date / 6th September
Sedol / TBD
ISIN / TBD
Taxation / CGT (under current rules)
Eligibility / Direct investments, ISAs, SIPP, SSAS, most Trusts
NON-Eligibility / Offshore Bond
* Upside exposure to the TOPIX is hedged into GBP Sterling on a Daily Basis
Payoff at maturity table / The Currency Hedge
Topix Level % / Capital Return per note
150% / 198%
140% / 198%
130% / 173.5%
100% / 100%
90% / 100%
60% / 100%
59% / 59%
* %age level including Daily Rolling FX Hedge
/ Many previous GBP denominated notes which reference a non-GBP underlying are fully currency hedged – this is known as ‘Quanto’.
This Quanto hedge on Japanese equities (i.e. JPY denominated Japanese equities hedged into GBP) is very expensive.
However, clients are generally still keen to try and mitigate the JPY/GBP currency exposure as much as possible.
Therefore, for this trade, to mitigate the currency risk between Japanese equities and GBP, Credit Suisse (the Issuer) will hedge the JPY impact on a daily basis. The FX hedging utilized will be similar to that which active managers hedge their hedged share classes.