By Angela McDaniels
Seattle, Sept. 26 - Credit Suisse (USA), Inc. priced a $3.25 million issue of 0% ProNotes due Sept. 30, 2010 linked to a basket of 10 commodities and two commodity indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the GSCI Agricultural Excess Return index with a 20% weight; the GSCI Livestock Excess Return index with a 10% weight; crude oil with a 15% weight; natural gas with a 10% weight; aluminum and copper, each with a 7% weight; nickel with a 6% weight; and gold, heating oil, lead, RBOB gasoline and zinc, each with a 5% weight.
The payout at maturity will be based on the performance of the basket:
• If the final basket level is greater than the initial basket level, payout will be par plus the return on the basket;
• If the final basket level is equal to the initial basket level, payout will be par;
• If the final basket level is less than the initial basket level, the payout will be par plus 25% of the absolute value of the percentage by which the index declined.
| Issuer: | Credit Suisse (USA), Inc.
|
| Issue: | ProNotes
|
| Underlying commodities: | GSCI Agricultural Excess Return index (20% weight), GSCI Livestock Excess Return index (10%), crude oil (15%), natural gas (10%), aluminum (7%), copper (7%), nickel (6%), gold (5%), heating oil (5%), lead (5%), RBOB gasoline (5%), zinc (5%)
|
| Amount: | $3.25 million
|
| Maturity: | Sept. 30, 2010
|
| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | Par plus any positive return on the basket; par if the basket ends at its initial level; par plus 25% of the absolute value of any percentage decline in the basket level
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 29
|
| Underwriter: | Credit Suisse Securities (USA) LLC
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