Published on 7/22/2008 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $13 million dual directional buffered notes linked to indexes via JPMorgan
By Susanna Moon
Chicago, July 22 - Credit Suisse, Nassau branch priced $13 million of 0% dual directional buffered return enhanced notes due Aug. 11, 2009 linked to an index basket via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the Dow Jones Euro Stoxx 50 with a 55% weight, the FTSE 100 with a 25% weight and the Topix with a 20% weight.
Payout at maturity will be par plus the basket return, which will be the sum of the three index returns.
If an index finishes above its initial level, its return will be double the gain, up to a maximum return of 15% for the Euro Stoxx, 13.5% for the FTSE and 12.6% for the Topix. The maximum payment at maturity is $1,141.45 per $1,000 principal amount of notes.
If an index falls by up to 10%, its return will be the absolute value of the decline. Investors will lose 1.1111% for each 1% decline beyond 10%.
| Issuer: | Credit Suisse, Nassau branch
|
| Issue: | Dual directional buffered return enhanced notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (55% weight), FTSE 100 (25% weight) and Topix (20% weight)
|
| Amount: | $13,001,000
|
| Maturity: | Aug. 11, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the basket return; if an index finishes above initial level, return will be double the gain, up to maximum return of 15% for Euro Stoxx, 13.5% for FTSE and 12.6% for Topix; if index falls by up to 10%, return will be absolute value of decline; loss of 1.1111% for each 1% decline beyond 10%
|
| Initial levels: | 3,321.53 for Euro Stoxx, 5,376.40 for FTSE and 1,252.43 for Topix
|
| Pricing date: | July 18
|
| Settlement date: | July 23
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
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