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Credit Suisse plans dual directional buffered return enhanced notes due 2010 linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Feb. 24 - Credit Suisse, Nassau Branch plans to price 0% dual directional buffered return enhanced notes due March 17, 2010 linked to the S&P 500 index via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any index gain, subject to a maximum return that is expected to be at least 25.8% and will be set at pricing. If the index declines by 10% or less, investors will receive par plus the absolute value of the decline. If the index declines by more than 10%, investors will lose 1.1111% for every 1% decline beyond 10%.
The notes are expected to price Feb. 27 and settle March 4.
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