By Susanna Moon
Chicago, March 31 - Credit Suisse, Nassau Branch priced $6.13 million of 0% notes due April 14, 2010 linked to a weighted basket of three dual directional buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the underwriters.
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 component indexes.
If a component index finishes above its initial level, its return will be double the gain, capped at a maximum return of 27% for the Euro Stoxx 50, 26% for the FTSE 100 and 26% for the Topix.
If a component index falls by 10% or less, its return will be the absolute value of the decline. If a component index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.
| Issuer: | Credit Suisse, Nassau branch
|
| Issue: | Notes linked to a basket of three dual directional buffered return enhanced components
|
| Underlying basket: | Dow Jones Euro Stoxx 50 index (55% weight), FTSE 100 index (25% weight) and Topix index (20% weight)
|
| Amount: | $6,133,000
|
| Maturity: | April 14, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the three index returns
|
| Index returns: | If the index increases, two times the gain, capped at 27% for Euro Stoxx, 26% for FTSE and 26% for Topix; if index falls by 10% or less, absolute value of index return; if the index falls by more than 10%, 0% minus 1.1111% for each 1% decline beyond 10%
|
| Initial index levels: | 2,118.76 for Euro Stoxx; 3,898.85 for FTSE; 824.53 for Topix
|
| Pricing date: | March 27
|
| Settlement date: | April 1
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
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