By Angela McDaniels
Tacoma, Wash., Feb. 9 - Credit Suisse, Nassau Branch priced $3 million of 0% semiannual review notes due Feb. 10, 2012 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Dow Jones Euro Stoxx 50 with a 52% weight, the FTSE 100 with a 24% weight and the Topix with a 24% weight.
The notes will be automatically called if the basket closes at or above the call level on any of three review dates. The call level is 90% of the initial level on the first review date and 100% of the initial level on the second and third review dates.
Investors will receive par plus 8% if the notes are called on Feb. 18, 2011, par plus 12% if they are called on Aug. 5, 2011 and par plus 16% if they are called on Feb. 7, 2012.
If the notes are not called, the payout at maturity will be par as long as the final basket level is at least 90% of the initial level. Otherwise, investors will lose 1.1111% for every 1% that it declines beyond 10%.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Semiannual review notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (52% weight), FTSE 100 (24% weight) and Topix (24% weight)
|
| Amount: | $3 million
|
| Maturity: | Feb. 10, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if final basket level is at least 90% of initial level; 1.1111% loss for every 1% decline beyond 10%
|
| Call: | Automatically if basket closes at or above 90% of initial level on Feb. 18, 2011, at or above initial level on Aug. 5, 2011 or at or above initial level on Feb. 7, 2012; redemption amount is par plus 8% if called on first review date, par plus 12% if called on second review date and par plus 16% if called on third review date
|
| Initial index levels: | 2,631.64 for Euro Stoxx; 5,060.92 for FTSE 100; 891.78 for Topix
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 10
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1.5%
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| Cusip: | 22546ESJ4
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