Published on 12/15/2009 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $17.37 million buffered return enhanced notes on indexes via JPMorgan
By Susanna Moon
Chicago, Dec. 15 - Credit Suisse, Nassau Branch priced $17.37 million of 0% buffered return enhanced notes due Jan. 12, 2011 based on five indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Kospi 200 index with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiply its final return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Composite Stock Price, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 19.8%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises index (33% weight), Kospi 200 index (24% weight), MSCI Taiwan index (21% weight), Hang Seng index (14% weight) and MSCI Singapore index (8% weight)
|
| Amount: | $17,366,000
|
| Maturity: | Jan. 12, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 19.8%; par if basket falls by up to 10%; 1.1111% loss for each 1% drop beyond 10%
|
| Initial index levels: | 12,967.49 for Hang Seng China Enterprises, 218.77 for Kospi, 281.38 for MSCI Taiwan, 21,902.11 for Hang Seng and 336.92 for MSCI Singapore
|
| Initial spot rates: | 0.129029 for Hong Kong dollar, 0.000860 for Korean won, 0.031103 for Taiwan dollar and 0.718184 for Singapore dollar
|
| Pricing date: | Dec. 11
|
| Settlement date: | Dec. 16
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
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