Credit Suisse plans semiannual review notes linked to S&P 500 via JPMorgan

By Jennifer Chiou

New York, March 17 - Credit Suisse, Nassau Branch plans to price 0% semiannual review notes due April 8, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. is the agent.

If the index closes at or above its call level on a semiannual valuation date, then the notes will be automatically called and investors will receive par plus an annualized return of 11.6%. The valuation dates are Aug. 19, 2009, March 4, 2010, Sept. 3, 2010 and March 4, 2011. The call level is 80% of the initial index level on the first valuation date, 90% of the initial level on the second valuation date 95% of the initial level on the third valuation date and 100% of the initial level on the final date.

If the notes are not called, then the payout at maturity will be par unless the index declines by more than 10%. In that case, investors will lose 1.1111% for every 1% decline beyond 10%.

The notes will price on March 19 and settle on March 24.

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