Published on 8/19/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallable notes on five stocks
By Susanna Moon
Chicago, Aug. 19 - Credit Suisse AG, Nassau Branch priced $500,000 of contingent coupon autocallable notes due Aug. 29, 2014 based on the performance of five stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying companies are Alcoa Inc., Halliburton Co., Merck & Co., Inc., Home Depot, Inc. and American Express Co.
A knock-in event occurs if any of the underlying stocks ever falls to or below 50% of its initial level, in which case the payout at maturity will be a number of shares of the worst performing stock equal to $1,000 principal amount divided by the initial share price plus a cash amount equal to the proportion of the final share price corresponding to any fractional share. Investors will not receive interest if a knock-in event occurs.
If a knock-in event does not occur, investors will receive par plus 15.7%.
The notes will be called at par plus 15.7% if each stock price closes at or above the 80% trigger level on any quarterly observation date beginning Nov. 24 unless a knock-in event occurs.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Contingent coupon autocallable notes
|
| Underlying stocks: | Alcoa Inc., Halliburton Co., Merck & Co., Inc., Home Depot, Inc. and American Express Co.
|
| Amount: | $500,000
|
| Maturity: | Aug. 29, 2014
|
| Coupon: | 15.7% if knock-in event never occurs
|
| Price: | Par
|
| Call: | At par plus 15.7% if each stock price closes at or above the 80% trigger level on any quarterly observation date beginning Nov. 24
|
| Payout at maturity: | If no stock ever dips by 50% or more, par plus 15.7%; otherwise, shares of worst performing stock equal to $1,000 divided by initial share price plus cash amount equal to proportion of the final share price corresponding to any fractional share, no interest
|
| Initial levels: | $10.95 for Alcoa, $28.70 for Halliburton, $35.54 for Merck, $28.31 for Home Depot and $41.74 American Express
|
| Pricing date: | Aug. 17
|
| Settlement date: | Aug. 20
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546EWR1
|
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