Credit Suisse to price contingent upside participation notes linked to Financial Select Sector SPDR fund

By Jennifer Chiou

New York, Aug. 14 - Credit Suisse, Nassau Branch plans to price 0% contingent upside participation knock-out notes due Aug. 15, 2010 linked to the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the fund level closes at 143.5% of the initial level during the life of the notes.

If the fund finishes greater than the initial level and no knock-out event has occurred, investors will receive par plus the fund return. If a knock-out event has occurred, investors will receive a fixed payment of 7.5%.

If the fund finishes below the initial level, investors will receive par.

The notes will price on Aug. 20 and settle on Aug. 25.

J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the underwriters.

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