By Angela McDaniels
Tacoma, Wash., July 21 - Credit Suisse, Nassau Branch priced $13.13 million of 0% notes due Aug. 5, 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 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.
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 sterling for the FTSE 100 - relative to the dollar.
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 is 20.5% for the Euro Stoxx 50 index and 18.4% for each of the Topix and FTSE 100 indexes. Based on these caps, the maximum payout at maturity is $1,194.29 per $1,000 principal amount of notes.
| Issuer: | Credit Suisse, Nassau Branch
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (49% weight), Topix index (28% weight) and FTSE 100 index (23% weight)
|
| Amount: | $13,126,000
|
| Maturity: | Aug. 5, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the component returns
|
| Component returns: | Double any positive return, capped at 20.5% for Euro Stoxx, 18.4% for Topix and 18.4% for FTSE 100; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,469.20 for Euro Stoxx; 878.29 for Topix, 4,388.75 for FTSE
|
| Initial exchange rates: | 1.41105 dollars per euro; 1.63220 dollars per pound; 0.010629 dollars per yen
|
| Pricing date: | July 17
|
| Settlement date: | July 24
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
|
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