Credit Suisse plans 0% notes on dual directional buffered return enhanced indexes via JPMorgan

By Jennifer Chiou

New York, March 17 - Credit Suisse, Nassau Branch plans to price 0% notes due April 9, 2010 linked to a weighted basket of three dual directional buffered return enhanced components via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The basket includes 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.

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

If a component index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a component index falls by 10% or less, its return will be the absolute value of the decline. If a component index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.

The maximum return will be at least 28% for the Euro Stoxx 50, at least 26% for the FTSE 100 and at least 26.5% for the Topix. The exact caps will be determined at pricing.

The notes will price on March 20 and settle on March 27.

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