By Susanna Moon
Chicago, March 17 - Credit Suisse, Nassau Branch priced $7.77 million of 0% notes due Sept. 17, 2009 linked to a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
The basket consists of the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.
Each basket index return will be double any gain, up to a maximum return of 17.5% for the Euro Stoxx, 14% for the FTSE and 14% for the Topix. The maximum payout is $1,159.25 per $1,000 principal amount of notes.
If a basket index falls by up to 10%, its return will be 0%. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for each 1% decline beyond 10%.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (55% weight), FTSE 100 index (25% weight) and Topix index (20% weight)
|
| Amount: | $7,771,000
|
| Maturity: | Sept. 17, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the three index returns
|
| Index returns: | Doubly any index gain, capped at a maximum return of 17.5% for Euro Stoxx, 14% for FTSE 100 and 14% for Topix; if the index declines by 10% or less, 0%; if the index declines by more than 10%, 0% minus 1.1111% for each 1% decline beyond 10%
|
| Initial index levels: | 1,969.52 for Euro Stoxx; 3,753.68 for FTSE; 724.30 for Topix
|
| Pricing date: | March 13
|
| Settlement date: | March 18
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 0.5%
|
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