By Angela McDaniels
Tacoma, Wash., April 20 - Credit Suisse, Nassau Branch priced $13.01 million of 0% optimal entry return enhanced notes due July 19, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
If the final index level is greater than the lookback level, the payout at maturity will be par plus 300% of the gain. The payout will be subject to a maximum return of 16.8%.
If the final index level is less than the lookback level, investors will be fully exposed to the decline.
The lookback level will be the index's lowest closing level during the 90 calendar days that began April 16. The final index level will be the average of the index's closing levels on the five trading days ending July 14, 2010.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Optimal entry return enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $13,006,000
|
| Maturity: | July 19, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus triple any increase over lookback level, capped at maximum return of 16.8%; full exposure to any decline from lookback level
|
| Lookback level: | Lowest index closing level during the 90 calendar days that began April 16
|
| Final index level: | Average of index's closing levels on the five trading days ending July 14, 2010
|
| Pricing date: | April 16
|
| Settlement date: | April1 21
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1.1%
|
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