Published on 8/18/2008 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $9.36 million average entry buffered notes linked to S&P 500 via JPMorgan
By Susanna Moon
Chicago, Aug. 18 - Credit Suisse, Nassau branch priced $9.36 million of 0% average entry buffered return enhanced notes due Oct. 6, 2009 linked to the S&P 500 index via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA, according to a 424B2 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus double any index gain relative to the average lookback level, up to a maximum return of 15.43%. The average lookback index level is the average of the index closing levels during the 30-day period from and including the pricing date.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.
Issuer: | Credit Suisse, Nassau branch
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Issue: | Average entry return enhanced notes
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Underlying index: | S&P 500
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Amount: | $9.36 million
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Maturity: | Oct. 6, 2009
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus double any index gain relative to the average lookback index level, capped at 15.43%; par if index falls by up to 10% and 1.1111% loss for each 1% decline beyond 10%
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Pricing date: | Aug. 15
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Settlement date: | Aug. 20
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Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
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Fees: | 1.1%
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