Published on 6/5/2009 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $44.8 million 0% notes linked to five return enhanced indexes
By Susanna Moon
Chicago, June 5 - Credit Suisse, Nassau Branch priced $44.8 million of 0% notes due Dec. 9, 2009 linked to a basket of five return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
The basket consists of the Hang Seng China Enterprises index weighted at 33%, the Kospi 200 index weighted at 23%, the MSCI Taiwan index weighted at 20%, the Hang Seng index weighted at 16% and the MSCI Singapore index weighted at 8%.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 22.14%.
Investors will be exposed to any losses.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Notes linked to five buffered return enhanced components
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| Underlying components: | Hang Seng China Enterprises index (33% weight), Kospi 200 index (23% weight), MSCI Taiwan index (20% weight), Hang Seng index (16% weight) and MSCI Singapore index (8% weight)
|
| Amount: | $44.8 million
|
| Maturity: | Dec. 9, 2009
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, capped at 22.14%; exposure to losses
|
| Initial index levels: | 10,706.68 for the Hang Seng China, 175.75 for the Kospi, 247.56 for the MSCI Taiwan, 18,502.77 for the Hang Seng and 286.41 for MSCI Singapore
|
| Initial spot rates: | 0.129016 U.S. dollars per Hong Kong dollar; 0.000800 dollars per Korean won; 0.030712 U.S. dollars per Taiwan dollar; and 0.691706 U.S. dollars per Singapore dollar
|
| Pricing date: | June 4
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| Settlement date: | June 9
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| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 0.5%
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