Published on 5/21/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $524,000 two-year absolute return barrier notes linked to indexes
By Toni Weeks
San Diego, May 21 - Credit Suisse AG, Nassau Branch priced $524,000 of 0% absolute return barrier securities due May 22, 2014 linked to the S&P 500 index, the Dow Jones industrial average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if any underlying index closes at or below its knock-in level, 60% of its initial level, during the life of the notes.
If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lowest-performing index, subject to a maximum return of 25%.
If the final level of the lowest-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of the lowest-performing index's return.
If the final level of the lowest-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lowest-performing index.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500, Dow Jones industrial average and Nasdaq-100
|
| Amount: | $524,000
|
| Maturity: | May 22, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If return of lowest-performing index is zero or positive, par plus return, subject to maximum return of 25%; if return of lowest-performing index is negative and knock-in event has not occurred, par plus absolute value of lowest-performing index's return; if return of lowest-performing index is negative and knock-in event has occurred, full exposure to decline in lowest-performing index
|
| Initial levels: | 1,304.86 for S&P 500, 12,442.49 for Dow Jones industrial average and 2,509.05 for Nasdaq-100
|
| Knock-in levels: | 782.916 for S&P 500, 7,465.494 for Dow Jones industrial average and 1,505.43 for Nasdaq-100, 60% of initial levels
|
| Pricing date: | May 17
|
| Settlement date: | May 22
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546TRR4
|
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