By Jennifer Chiou
New York, Dec. 24 - Credit Suisse, Nassau branch priced $509,000 of zero-coupon principal-protected upside knock-out notes due Dec. 29, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the index closes at or above the knock-out level, which is 165% of the initial level.
At maturity, the notes will pay par plus any positive index return unless a knock-out event occurs.
If a knock-out event occurs, the payout at maturity will be par plus a fixed payment of 12.5%.
Investors will receive at least par.
Credit Suisse Securities (USA) Inc. is the underwriter.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Principal-protected upside knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $509,000
|
| Maturity: | Dec. 29, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If a knock-out event occurs, payout is par plus 12.5%; otherwise, par plus any positive index return; floor of par
|
| Initial index level: | 863.16
|
| Knock-out level: | 1,424.214, 165% of initial index level
|
| Pricing date: | Dec. 23
|
| Settlement date: | Dec. 29
|
| Underwriter: | Credit Suisse Securities (USA) Inc.
|
| Fees: | 0.75%
|
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