By Marisa Wong
Milwaukee, April 27 - Credit Suisse, Nassau Branch priced $17.82 million of 0% index knock-out notes due May 5, 2011 linked to the S&P GSCI Commodity Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes below the knock-out level - 80% of the initial level - on any day during the life of the notes.
If a knock-out event has occurred, the payout at maturity will be par plus the index return. If a knock-out event has not occurred, the payout will be par plus the greater of a contingent minimum return of 5% and the index return.
In both cases, the payout is subject to a maximum return of 16.5%.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Index knock-out notes
|
| Underlying index: | S&P GSCI Commodity Index Excess Return
|
| Amount: | $17,816,000
|
| Maturity: | May 5, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index closes below 80% of initial level on any day during life of notes, par plus index return; otherwise, par plus greater of 5% and index return; return capped at 16.5% in either case
|
| Initial index level: | 448.0695
|
| Final index level: | Average of index's closing levels on the five consecutive trading days ending May 2, 2011
|
| Pricing date: | April 23
|
| Settlement date: | April 28
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
| Cusip: | 22546ESM7
|
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