Published on 10/3/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $48.56 million absolute return barrier notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Oct. 3 - Credit Suisse AG, Nassau Branch priced $48.56 million of 0% absolute return barrier securities due March 30, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the index return, subject to a maximum payment of $1,200.20 per $1,000 principal amount of notes.
If the final index level is less than the initial index level but greater than or equal to the knock-out level, the payout will be par plus the absolute value of the index return. The knock-out level is 80% of the initial index level.
If the final index level is less than the knock-out level, investors will lose 1.250313% for every 1% that the index declines below the knock-out level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying index: | S&P 500
|
| Amount: | $48,558,000
|
| Maturity: | March 30, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to initial index level, par plus index return, subject to maximum return of 20.02%; if final index level is less than initial index level but greater than or equal to knock-out level, par plus absolute value of index return; otherwise, 1.250313% loss for every 1% that index declines below knock-out level
|
| Initial index level: | 1,446.31
|
| Knock-out level: | 1,156.758738, 80% of initial index level
|
| Pricing date: | Oct. 1
|
| Settlement date: | Oct. 9
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.4%
|
| Cusip: | 22546TA43
|
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