By Marisa Wong
Milwaukee, Jan. 8 - Credit Suisse, Nassau Branch priced $2.5 million of 0% buffered return enhanced notes due Jan. 27, 2011 linked to the Russell Midcap index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any index gain, up to a cap of 14.14%.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% decline in the index beyond 10%.
JPMorgan is the placement agent.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Buffered return enhanced notes
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| Underlying index: | Russell Midcap
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| Amount: | $2.5 million
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| Maturity: | Jan. 27, 2011
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| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | Par plus 200% of any index gain, capped at 14.14%; par if index falls by up to 10% and 1.1111% loss for each 1% decline beyond 10%
|
| Initial level: | 835.57
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| Pricing date: | Jan. 6
|
| Settlement date: | Jan. 11
|
| Agent: | JPMorgan
|
| Fees: | 0%
|
| Cusip: | 22546ERP1
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