Published on 8/12/2008 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $11.41 million buffered return enhanced notes on indexes via JPMorgan
By Susanna Moon
Chicago, Aug. 12 - Credit Suisse, Nassau branch priced $11.41 million of 0% notes due Aug. 27, 2009 linked to a weighted basket of three buffered return enhanced components via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.
Payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.
If an index finishes above its initial level, its return will be double the gain, capped at a maximum return. If an index falls by 10% or less, its return will be zero. If an index falls by more than 10%, its return will be 0% minus 1.1111% for each 1% decline beyond 10%.
The maximum return is 14.65% for the Euro Stoxx, 14.45% for the FTSE 100 and 14.8% for the Topix. Based on the maximum returns for each index, the maximum payout at maturity is $1,146.30 per $1,000 principal amount of notes.
| Issuer: | Credit Suisse, Nassau branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (55% weight), FTSE 100 (25% weight) and Topix (20% weight)
|
| Amount: | $11,406,000
|
| Maturity: | Aug. 27, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the basket return; if an index finishes above initial level, return will be double the gain, up to maximum return of 14.65% for Euro Stoxx, 14.45% for FTSE and 14.8% for Topix; par if index falls by up to 10%; loss of 1.1111% for each 1% decline beyond 10%
|
| Initial levels: | 3,408.48 for Euro Stoxx, 5,489.20 for FTSE and 1,259.93 for Topix
|
| Pricing date: | Aug. 8
|
| Settlement date: | Aug. 13
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
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