Published on 5/27/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $316,000 bull/bear ProNotes linked to S&P 500, iShares TIPS fund
By Angela McDaniels
Tacoma, Wash., May 27 - Credit Suisse AG, Nassau Branch priced $316,000 of zero-coupon bull/bear principal-protected ProNotes due Nov. 30, 2015 linked to a basket containing equal weights of the S&P 500 index and the iShares Barclays TIPS Bond fund, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 110% of any basket gain or par plus 50% of the absolute value of any basket decline.
The final basket level will be the average of its closing levels on Nov. 24, 2010, Nov. 25, 2011, Nov. 26, 2012, Nov. 25, 2013, Nov. 24, 2014 and Nov. 24, 2015.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Bull/bear principal-protected ProNotes
|
| Underlying basket: | S&P 500 index and iShares Barclays TIPS Bond fund
|
| Amount: | $316,000
|
| Maturity: | Nov. 30, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 110% of the basket return if the return is positive; par plus 50% of the absolute value of the basket return if the return is negative
|
| Initial levels: | 1,074.03 for index; $105.70 for fund
|
| Final levels: | Average of closing levels on Nov. 24, 2010, Nov. 25, 2011, Nov. 26, 2012, Nov. 25, 2013, Nov. 24, 2014 and Nov. 24, 2015
|
| Pricing date: | May 25
|
| Settlement date: | May 28
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.25%
|
| Cusip: | 22546EUU6
|
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