By Susanna Moon
Chicago, Nov. 24 - Credit Suisse, Nassau Branch priced $10.1 million of 0% auto-callable index knock-out notes due Aug. 27, 2010 based on the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
If the index closes at or above 107% of its initial level on any review date, the notes will be called at 107% of par. The review dates are the second business day of each week beginning Dec. 1.
If the notes are not called and the index falls to or below the knock-out level - 15% below the initial level - during the life of the notes, the payout at maturity will be par plus the index return.
If the notes are not called and the index remains above the knock-out level, the payout will be par plus the greater of the index return and the contingent minimum return of 6.2%.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Auto-callable index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $10,101,000
|
| Maturity: | Aug. 27, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index ever falls below knock-out level, par plus index return; otherwise, par plus greater of 6.2% and index return; capped at 7%
|
| Call: | Automatically if index closes at or above 107% of its initial level on any review date
|
| Initial index level: | 1,091.38
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 25
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 0.75%
|
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