Published on 3/20/2009 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $8.95 million semiannual review notes linked to S&P 500 via JPMorgan
By Jennifer Chiou
New York, March 20 - Credit Suisse, Nassau Branch priced $8.95 million of 0% semiannual review notes due April 8, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The notes will be automatically called if the index closes at or above its call level on any of four valuation dates. The call level is 80% of the initial level on the first valuation date, 90% of the initial level on the first valuation date, 95% of the initial level on the third valuation date and 100% of the initial level on the remaining valuation date.
The redemption level is par plus 105.8% of par if the notes are called on Sept. 21, 2009, par plus 111.6% of par if called on April 5, 2010, par plus 117.4% of par if called on Oct. 5, 2010 and par plus 123.2% of par if called on April 5, 2011.
If the notes are not called, the payout at maturity will be par unless the index falls by more than 10%, in which case, investors will lose 1.1111% for every 1% decline beyond 10%.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Semiannual review notes
|
| Underlying index: S&P 500
|
| Amount: | $8,945,000
|
| Maturity: | April 8, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Automatically if index closes at or above its call level of 80% of initial level on first valuation date, 90% of initial level on second valuation date, 95% of initial level on the third valuation date and 100% of initial level on remaining valuation date; at par plus 105.8% of par if notes are called on Sept. 21, 2009, par plus 111.6% of par if called on April 5, 2010, par plus 117.4% of par if called on Oct. 5, 2010 and par plus 123.2% of par if called on April 5, 2011
|
| Payout at maturity: | Par unless index falls by more than 10%, in which case 1.1111% loss for every 1% decline beyond 10%
|
| Initial index: | 784.04
|
| Pricing date: | March 19
|
| Settlement date: | March 24
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.5%
|
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