By Susanna Moon
Chicago, Dec. 2 - Credit Suisse, Nassau Branch priced $1.61 million of 11.5% callable yield notes due Dec. 3, 2010 based on two indexes and a fund, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying benchmarks are the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets index fund.
Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning June 3, 2010.
If the notes are not called, the payout at maturity will be par unless any of the underlying components falls to or below its knock-in level - 70% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying benchmarks: | S&P 500 index, Russell 2000 index and iShares MSCI Emerging Markets index fund
|
| Amount: | $1,606,000
|
| Maturity: | Dec. 3, 2010
|
| Coupon: | 11.5%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on interest payment dates beginning June 3, 2010
|
| Initial levels: | 1,095.63 for S&P; 579.73 for Russell; $40.52 for iShares MSCI
|
| Knock-in levels: | 766.941 for S&P; 405.811 for Russell; $28.364 for iShares MSCI; or 70% of initial levels
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 3
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.75%
|
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