Credit Suisse to sell notes linked to buffered return enhanced indexes via JPMorgan

By Susanna Moon

Chicago, Aug. 5 - Credit Suisse, Nassau branch plans to price 0% notes due Aug. 27, 2009 linked to a weighted basket of three buffered return enhanced components via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.

Payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.

If an index finishes above its initial level, its return will be double the gain, capped at a maximum return. If an index falls by 10% or less, its return will be zero. If an index falls by more than 10%, its return will be 0% minus 1.1111% for each 1% decline beyond 10%.

The maximum return is 14.65% for the Euro Stoxx, 14.45% for the FTSE 100 and 14.8% for the Topix. Based on the maximum returns for each index, the maximum payout at maturity is $1,146.30 per $1,000 principal amount of notes.

The notes are expected to price on Aug. 8 and are expected to settle on Aug. 13.

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