By E. Janene Geiss
Philadelphia, Nov. 25 - Credit Suisse, Nassau branch priced $1.36 million of zero-coupon principal-protected upside knock-out notes due Nov. 28, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the index closes at or above the knock-out level, which is 153% of the initial level.
At maturity, the notes will pay par plus any positive index return unless a knock-out event occurs.
If a knock-out event occurs, the payout at maturity will be par plus a fixed payment of 10.75%. Investors will receive at least par.
Credit Suisse Securities (USA) Inc. is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Principal-protected upside knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $1,364,000
|
| Maturity: | Nov. 28, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If a knock-out event occurs, payout is par plus 10.75%; otherwise par plus any positive index return; floor of par
|
| Initial index level: | 800.03
|
| Knock-out level: | 1,224.0459, 153% of initial index level
|
| Pricing date: | Nov. 21
|
| Settlement date: | Nov. 26
|
| Underwriter: | Credit Suisse Securities (USA) Inc.
|
| Fees: | None
|
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