Credit Suisse plans to price 15.4% reverse convertibles linked to crude oil via JPMorgan

By E. Janene Geiss

Philadelphia, Sept. 23 - Credit Suisse, Nassau branch plans to price 15.4% annualized reverse convertible notes due Dec. 31, 2009 linked to the price of West Texas Intermediate light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.

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

The three-month notes will pay a coupon of 3.85%. Interest will be payable at maturity.

Payout at maturity will be par unless the price of crude oil falls below the knock-in price - 75% of the initial price - during the life of the notes and finishes below the initial price, in which case the payout will reflect par minus any decline of the price. Investors are fully exposed to any decline in the price of oil beyond 25%.

The issue is expected to price on Sept. 25 and settle on Sept. 30.

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