Credit Suisse plans 0% notes tied to buffered return enhanced indexes

By E. Janene Geiss

Philadelphia, Sept. 9 - Credit Suisse, Nassau Branch plans to price 0% notes due Oct. 5, 2010 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.

The components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Topix index with a 28% weight and the FTSE 100 index with a 23% weight.

The payout at maturity will be par plus the basket return, which will equal 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, subject to a cap. 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%.

The cap will be at least 15% for the Euro Stoxx 50, at least 14% for the Topix and at least 13.7% for the FTSE 100. The exact caps will be set at pricing.

The final basket level will be the arithmetic average of the basket's closing levels on the five consecutive trading days ending Sept. 30, 2010.

The notes are expected to price on Sept. 11 and settle on Sept. 16.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.