Published on 10/31/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $35.13 million contingent coupon callable notes on indexes, ETF
By Marisa Wong
Madison, Wis., Oct. 31 - Credit Suisse AG, Nassau Branch priced $35.13 million of contingent coupon callable yield notes due April 30, 2015 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon of 8.2% per year if each of the underlying components close at or above the 55% barrier level on the observation date for that quarter.
The notes are callable at par plus the contingent coupon on any interest payment date.
The payout at maturity will be par unless either index or the fund finishes below its 55% knock-in level, in which case investors will receive par plus the return of the worst performing component.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index and iShares MSCI EAFE index fund
|
| Amount: | $35,128,000
|
| Maturity: | April 30, 2015
|
| Coupon: | 8.2% per year, payable quarterly if each underlying component closes at or above barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any component finishes below knock-in level, in which case par plus return of worst performing component
|
| Call option: | At par plus contingent coupon on any interest payment date
|
| Initial levels: | 1,411.94 for S&P, 813.25 for Russell, $53.61 for ETF
|
| Barrier levels: | 776.567 for S&P, 447.2875 for Russell, $29.4855 for ETF; 55% of initial levels
|
| Knock-in levels: | 776.567 for S&P, 447.2875 for Russell, $29.4855 for ETF; 55% of initial levels
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TE98
|
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