Published on 7/27/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.15 million capped knock-out notes on 10 stocks
By Marisa Wong
Madison, Wis., July 27 - Credit Suisse AG, Nassau Branch priced $3.15 million of 0% capped knock-out notes due Aug. 16, 2011 linked to a basket of 10 common stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The equally weighted basket includes Broadcom Corp., CA, Inc., Cisco Systems, Inc., Hewlett-Packard Co., IBM Corp., Marvell Technology Group Ltd., Oracle Corp., Qualcomm Inc., SanDisk Corp. and Seagate Technology.
If the basket closes below the knock-out level - 75% of the initial level - during the life of the notes, the payout at maturity will be par plus the basket return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the basket return and a contingent minimum return of 15.3%.
In either case, the payout will be subject to a maximum return of 25%.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Capped knock-out notes
|
| Underlying stocks: | Equal weights of Broadcom Corp., CA, Inc., Cisco Systems, Inc., Hewlett-Packard Co., IBM Corp., Marvell Technology Group Ltd., Oracle Corp., Qualcomm Inc., SanDisk Corp. and Seagate Technology
|
| Amount: | $3,153,000
|
| Maturity: | Aug. 16, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket falls below 75% of initial level, par plus basket return with exposure to losses; otherwise, par plus greater of basket return and 15.3%; in both cases, gains capped at 25%
|
| Initial prices: | $37.76 for Broadcom, $19.38 for CA, $23.35 for Cisco, $46.15 for Hewlett-Packard, $128.38 for IBM, $16.47 for Marvell, $24.15 for Oracle, $39.08 for Qualcomm, $41.43 for SanDisk and $12.79 for Seagate
|
| Pricing date: | July 23
|
| Settlement date: | July 28
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546EXN9
|
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