By Jennifer Chiou
New York, Feb. 26 - Credit Suisse, Nassau Branch priced $1.5 million of 0% Buffered Accelerated Return Equity Securities due March 29, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus 600% of any index gain, up to a cap of 24%.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Buffered Accelerated Return Equity Securities
|
| Underlying index: S&P 500
|
| Amount: | $1.5 million
|
| Maturity: | March 29, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 600% of any index gain, capped at 24%; par if index falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial level: | 773.14
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 27
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
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