By Susanna Moon
Chicago, Jan. 7 - Credit Suisse, Nassau Branch priced $2.2 million of 0% buffered return enhanced notes due Jan. 27, 2011 linked to the performance of the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
The payout at maturity will be par plus double any index gain, up to a maximum return of 20.4%.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
Issuer: | Credit Suisse, Nassau Branch
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Issue: | Buffered return enhanced notes
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Underlying index: | Russell 2000 index
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Amount: | $2.2 million
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Maturity: | Jan. 27, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus double any index gain, capped at 20.4%; par if index falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
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Initial index level: | 637.95
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Pricing date: | Jan. 6
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Settlement date: | Jan. 11
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Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
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Fees: | None
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Cusip: | 22546EPY4
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