US Wrap: Principal protection makes timid reappearance

One principal protected structure made it into the US market yesterday after hints earlier this week that guaranteed notes might be making a tentative reappearance. Credit Suisse's range-bound note was the second this week to offer 100% principal protection at maturity. The note pays 100% of the S&P 500's moves in either direction provided that it stays within a range of 79-80% of its value at strike on the downside and 127.5-132.5% on the upside, with the exact level to be determined at the strike date. Should the index slip out of this range, principal will be returned with no additional payment at the note's 18-month maturity.

HSBC launched an S&P-500 linked growth product with no principal protection, but this increases upside participation to 500% over one year, up to a cap of between 25-29% (with the exact level to be set at strike.) Morgan Stanley's product links to the Russell 2000, and offers a considerably lower 200% participation rate, but does incorporate a 15% downside buffer.


Product type


Pricing date

Maturity date

Credit Suisse


S&P 500

Apr 30 2009

Nov 05 2010

Morgan Stanley


S&P 500


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