Published on 6/29/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $449,000 0% notes linked to index, fund basket
By Susanna Moon
Chicago, June 29 - Credit Suisse AG, Nassau Branch priced $449,000 of 0% CS notes due Dec. 30, 2015 based on a basket of one index and four index funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 50% weight, the iShares Barclays TIPS Bond fund with a 25% weight, the iShares MSCI EAFE index fund with a 10% weight, the SPDR Gold Trust with a 10% weight and the iShares MSCI Emerging Markets index fund with a 5% weight.
The payout at maturity will be par plus any basket gain. If the basket falls, the payout will be par.
The final basket level will be the average of its levels on Dec. 27, 2010, Dec. 27, 2011, Dec. 24, 2012, Dec. 24, 2013, Dec. 24, 2014 and Dec. 24, 2015
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | CS notes
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Underlying basket: | S&P 500 index (50% weight), iShares Barclays TIPS Bond fund (25% weight), iShares MSCI EAFE index fund (10% weight), SPDR Gold Trust (10% weight) and iShares MSCI Emerging Markets index fund (5% weight)
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Amount: | $449,000
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Maturity: | Dec. 30, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus any basket gain, floor of par
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Initial levels: | 1,076.76 for S&P, $106.66 for Barclays TIPS, $48.85 for MSCI EAFE, $122.76 for SPDR Gold and $39.45 for MSCI EM
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Final basket level: | Average of closing levels Dec. 27, 2010, Dec. 27, 2011, Dec. 24, 2012, Dec. 24, 2013, Dec. 24, 2014 and Dec. 24, 2015
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Pricing date: | June 25
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Settlement date: | June 30
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546EWA8
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