By Laura Lutz
Des Moines, March 7 - Credit Suisse, Nassau Branch priced $63.8 million of 11% notes due March 16, 2009 linked to common stock of Microsoft Corp., according to an FWP filing with the Securities and Exchange Commission.
Interest is payable monthly.
Each note is priced at par of $27.88, equal to the initial price of Microsoft stock. The payout at maturity will depend on the final price of the stock:
• If the final share price is less than the lower put strike price - $22.304, or 80% of the initial price - the payout for each note will be $22.304 times 89.2857%, the downside participation rate.
• If the final share price is between the lower put strike price and the upper put strike price - $31.2256, or 112% of the initial price - the payout will be the final share price times the downside participation rate.
• If the final share price is at least the upper put strike price and less than the call strike price - $33.4421, or 120% of the initial price - the payout at maturity will be par.
• If the final share price is at least the call strike price, the payout at maturity will be par plus 65% of the amount by which the final share price exceeds the call strike price.
Credit Suisse Securities (USA) LLC is the distributor.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Notes
|
| Underlying stock: | Microsoft Corp. (Symbol: MSFT)
|
| Amount: | $63,800,592
|
| Maturity: | March 16, 2009
|
| Coupon: | 11%, payable monthly
|
| Price: | Par of $27.88
|
| Payout at maturity: | For each note: if final share price is less than $22.304, 89.2857% of $22.304; if final price is at least $22.304 and less than $31.2256, 89.2857% of final price; if final price is at least $31.2256 and less than $33.4421, par; if final price is at least $33.4421, par plus 65% of amount by which final price exceeds $33.4421
|
| Initial price: | $27.88
|
| Lower put strike price: | $22.304
|
| Upper put strike price: | $31.2256
|
| Call strike price: | $33.44.21
|
| Pricing date: | March 6
|
| Settlement date: | March 13
|
| Distributor: | Credit Suisse Securities (USA) LLC
|
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