Published on 6/18/2009 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million return enhanced notes tied to Asian indexes, currencies
By Angela McDaniels
Tacoma, Wash., June 18 - Credit Suisse, Nassau Branch priced $2 million of 0% return enhanced notes due July 8, 2010 linked to a basket of 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 34% weight, the MSCI Taiwan index with a 22% weight, the Korea Stock Price Index 200 with a 21% weight, the Hang Seng index with a 15% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiple 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 Kospi 200, 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 triple any basket gain, up to a maximum return of 30.75%. Investors will share in any basket decline.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Return enhanced notes
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| Underlying indexes: | Hang Seng China Enterprises (34% weight), MSCI Taiwan (22% weight), Korea Stock Price Index 200 (21% weight), Hang Seng (15% weight) and MSCI Singapore (8% weight)
|
| Amount: | $2 million
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| Maturity: | July 8, 2010
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| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | Par plus triple any basket gain, up to maximum return of 30.75%; full exposure to any basket decline
|
| Initial index levels: | 10,716.32 for Hang Seng China Enterprises; 226.53 for MSCI Taiwan; 178.88 for Kospi 200; 18,165.50 for Hang Seng; 276.54 for MSCI Singapore
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| Final index levels: | For each index, the average of its closing levels on the five trading days ending July 5, 2010
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| Initial exchange rates: | 0.129032 U.S. dollars per Hong Kong dollar; 0.000796 U.S. dollars per Korean won; 0.030420 U.S. dollars per Taiwan dollar; 0.686012 U.S. dollars per Singapore dollar
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| Pricing date: | June 16
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| Settlement date: | June 19
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| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
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