By Susanna Moon
Chicago, Dec. 2 - Credit Suisse, Nassau Branch priced $2.86 million of 8% callable yield notes due Dec. 3, 2010 based on two indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying benchmarks are the S&P 500 index and the Russell 2000 index.
Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning June 3, 2010.
If the notes are not called, the payout at maturity will be par unless either of the underlying indexes falls to or below its knock-in level - 65% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,859,000
|
| Maturity: | Dec. 3, 2010
|
| Coupon: | 8%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing index, capped at par; otherwise, par
|
| Call option: | At par on interest payment dates beginning June 3, 2010
|
| Initial levels: | 1,095.63 for S&P; 579.73 for Russell
|
| Knock-in levels: | 712.1595 for S&P; 376.8245 for Russell; or 65% of initial levels
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 3
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.75%
|
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