By Susanna Moon
Chicago, Nov. 25 - Credit Suisse, Nassau branch priced $3.71 million of 0% Bull Cert Plus notes due May 29, 2012 linked to the S&P 500 index with a 65% weight and the iShares MSCI EAFE index fund with a 35% weight, according to a 424B2 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus 135.5% of any basket gain.
If the final basket level is less than the initial level, the payout will be par if each basket component remains above its trigger level - 60% of its initial level - throughout the life of the notes. Otherwise, investors will be exposed to the decline.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Bull Cert Plus notes
|
| Underlying basket: | S&P 500 index (65% weight) and iShares MSCI EAFE index fund (35% weight)
|
| Amount: | $3.71 million
|
| Maturity: | May 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 135.5% of any basket gain; par if each basket component remains above its trigger level during life of notes and basket finishes below initial level; otherwise exposure to losses
|
| Initial levels: | 800.03 for S&P 500; $38.20 for iShares MSCI EAFE
|
| Trigger levels: | 480.02 for S&P; $22.92 for iShares MSCI EAFE; 60% of initial level
|
| Pricing date: | Nov. 21
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| Settlement date: | Nov. 28
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| Underwriter: | Credit Suisse Securities (USA) Inc.
|
| Fees: | 2.5%
|
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