By Susanna Moon
Chicago, May 5 - Credit Suisse, Nassau Branch priced $14.23 million of 0% notes due May 13, 2010 linked to a basket of three buffered return enhanced components, 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 Dow Jones Euro Stoxx 50 index with a 49% weight, the FTSE 100 index with a 23% weight and the Topix index with a 28% weight.
The payout at maturity will be par plus the basket return, which will be the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive or flat, its component return will be double the underlying return, up to a maximum return of 25% for the Euro Stoxx, 23% for the FTSE and 24% for the Topix. The maximum payout is $1,242.60 per $1,000 principal amount of notes.
If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the return is less than negative 10%.
To determine the underlying return for each index, the issuer will multiple its final return by the final return of the applicable currency - the euro for the Euro Stoxx 50, the yen for the Topix and the pound for the FTSE 100 - relative to the dollar, exposing investors to the appreciation or depreciation of the currencies in addition to the index returns.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (49% weight), FTSE 100 index (23% weight) and Topix index (28% weight)
|
| Amount: | $14,225,000
|
| Maturity: | May 13, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the three index returns
|
| Index returns: | Double any index gain, capped at 25% for Euro Stoxx, 23% for FTSE and 24% for Topix; 0% if the index falls by 10% or less; beyond 10% drop, 0% minus 1.1111% for each 1% decline beyond 10%
|
| Initial index levels: | 2,419.53 for Euro Stoxx; 4,243.22 for FTSE; 846.85 for Topix
|
| Initial spot rates: | 1.3253 dollars per euro; 1.4856 dollars per pound; 0.010067 dollars per yen
|
| Pricing date: | May 1
|
| Settlement date: | May 6
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
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