New Issue: Credit Suisse prices $11.91 million optimal entry return enhanced notes linked to S&P 500

By E. Janene Geiss

Philadelphia, May 19 - Credit Suisse, Nassau Branch priced $11.91 million of 0% optimal entry return enhanced notes due Aug. 12, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

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

If the final index level is greater than the lookback level, the payout at maturity will be par plus 300% of the gain, subject to a maximum return of 15%. Investors will be fully exposed to any decline in the index from the lookback level.

The lookback level will be the lowest closing level of the index during the 90-day period beginning on the pricing date. The index's closing level on the pricing date was 882.88.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Optimal entry return enhanced notes
Underlying index:	S&P 500
Amount:	$11,911,000
Maturity:	Aug. 12, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus triple any gain over lookback level, up to maximum return of 15%; full exposure to any decline from lookback level
Lookback level:	Lowest closing index level during 90 days beginning May 15
Final index level:	Average of index's closing levels on five trading days ending Aug. 9, 2010
Pricing date:	May 15
Settlement date:	May 20
Agents:	J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
Fees:	1.1%

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