Published on 8/31/2009 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $755,000 index knock-out notes linked to S&P GSCI Crude Oil index
By Angela McDaniels
Tacoma, Wash., Aug. 31 - Credit Suisse, Nassau Branch priced $755,000 of 0% index knock-out notes due Oct. 1, 2010 linked to the S&P GSCI Crude Oil Index Excess Return, 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 below the knock-out level - 70% of the initial index level - on any day during the life of the notes, the payout at maturity will be par plus the index return. Otherwise, the payout will be par plus the greater of the index return and 9%.
In both cases, the payout is subject to a maximum return of 36%.
Issuer: | Credit Suisse, Nassau Branch
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Issue: | Index knock-out notes
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Underlying index: | S&P GSCI Crude Oil Index Excess Return
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Amount: | $755,000
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Maturity: | Oct. 1, 2010
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index ever falls below 70% of initial level, par plus index return; otherwise, par plus greater of 9% and index return; payout capped at 136% of par in either case
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Initial index level: | 532.7308
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Pricing date: | Aug. 28
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Settlement date: | Sept. 2
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Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
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Fees: | 1%
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