Published on 11/28/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.83 million autocallable notes tied to Euro Stoxx, iShares MSCI EM
By Susanna Moon
Chicago, Nov. 28 - Credit Suisse AG, Nassau Branch priced $3.83 million of autocallable securities due Nov. 30, 2015 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus 14.65% on any review date if both components close at or above the trigger level, which will be equal to the initial level on the first review date, stepping down to 90% of the initial level for the second and third review dates.
If the notes are not called, the payout at maturity will be par unless either component falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.
Barclays is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable securities
|
| Underlying components: | Euro Stoxx 50 index and iShares MSCI Emerging Markets index fund
|
| Amount: | $3,825,000
|
| Maturity: | Nov. 30, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call: | At par plus $146.50 if called on the first review date, at par plus $293.00 if called on the second review date and par plus $439.50 if called on third review date; notes will be called if components close at or above initial level on first review date and at or above 90% of initial level on second and third review dates
|
| Initial levels: | 2,542.52 for index, $41.63 for fund
|
| Knock-in levels: | 1,779.764 for index, $29.141 for fund; 70% of initial levels
|
| Pricing date: | Nov. 26
|
| Settlement date: | Nov. 29
|
| Agent: | Barclays
|
| Fees: | 2.5%
|
| Cusip: | 22546TK91
|
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