Credit Suisse plans buffered notes tied to Asian indexes, currencies

By E. Janene Geiss

Philadelphia, June 2 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due June 23, 2010 linked to a basket of five Asian equity indexes and related Asian currencies, 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 basket includes the Hang Seng China Enterprises index and Hong Kong dollar with a 33% weight, the Korea Stock Price Index 200 and Korean won with a 23% weight, the MSCI Taiwan index and Taiwan dollar with a 20% weight, the Hang Seng index and the Hong Kong dollar with a 16% weight and the MSCI Singapore index and Singapore dollar with an 8% weight. In each case, the component's contribution to the basket will be the return on the index multiplied by the currency return.

The payout at maturity will be par plus double any basket gain, subject to a maximum return of 20.74%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that the basket declines beyond 10%.

The final level will be the arithmetic average of the basket's closing levels on five consecutive trading days ending June 18, 2010.

The notes are expected to price June 5 and settle June 10.

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