By Jennifer Chiou
New York, July 16 - Credit Suisse, Nassau branch priced $4.75 million of 0% buffered cliquets due Aug. 18, 2009 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The cliquet return is the sum of the 13 monthly returns, with a monthly cap of 3.4%.
There is a fixed payment of 9%.
If the cliquet return is at least 0%, the payout at maturity will be par plus the return.
If the cliquet return is negative but greater than negative 10%, the payout at maturity will be par.
If the cliquet return is less than negative 10%, investors will lose an amount equal to 10% plus the cliquet return multiplied by a downside leverage of 111.11%.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse, Nassau branch
|
| Issue: | Buffered cliquets
|
| Underlying index: | S&P 500
|
| Amount: | $4.75 million
|
| Maturity: | Aug. 18, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Fixed payment of 9%; and par plus the return if the cliquet return is at least 0%; par if the cliquet return is negative but greater than negative 10%; if the cliquet return is less than negative 10%, investors will lose an amount equal to 10% plus the cliquet return multiplied by 111.11%
|
| Initial level: | 1,239.49
|
| Cliquet return: | Sum of the 13 monthly returns measured on the 11th day of each month, monthly cap of 3.4%
|
| Pricing date: | July 14
|
| Settlement date: | July 18
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1%
|
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