Published on 4/24/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.56 million annual contingent coupon CS notes on 10 commodities
By Jennifer Chiou
New York, April 24 - Credit Suisse AG, Nassau Branch priced $1,558,000 of annual contingent coupon CS notes due April 25, 2016 linked to a basket of 10 commodities, according to a 424B2 filing with the Securities and Exchange Commission.
The equally weighted basket includes corn, cotton, sugar #11, soybeans, RBOB gasoline, nickel, zinc, Brent crude oil, copper and WTI crude oil.
The notes will pay a coupon each year equal to the sum of the basket commodities' weighted component returns, subject to a minimum of zero.
If a commodity's final price is greater than or equal to its initial price, its component return will be equal to the fixed component percentage of 10%. Otherwise, its component return will be equal to the greater of its return and negative 20%.
The payout at maturity will be par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Annual contingent coupon CS notes
|
| Underlying commodities: | Corn, cotton, sugar #11, soybeans, RBOB gasoline, nickel, zinc, Brent crude oil, copper and WTI crude oil, equally weighted
|
| Amount: | $1,558,000
|
| Maturity: | April 25, 2016
|
| Coupon: | An annual contingent coupon equal to basket return on the valuation date immediately preceding coupon payment date, floor of zero; a basket component's return on any valuation day is equal to a fixed percentage of 10% if its underlying stock return is at least zero; otherwise, return will equal be the stock return, floor of negative 20%
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Initial prices: | 612.50 for corn, 90.04 for cotton, 21.93 for sugar #11, 1,446.75 for soybeans, 314.27 for RBOB gasoline, 17,750 for nickel, 1,999.50 for zinc, 118.76 for Brent crude oil, 8,120.50 for copper and 103.88 for WTI crude oil
|
| Pricing date: | April 20
|
| Settlement date: | April 26
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.95%
|
| Cusip: | 22546TRE3
|
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