Credit Suisse to price buffered return enhanced notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., May 4 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due May 20, 2010 linked to the S&P 500 index, 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 payout at maturity will be par plus triple any index gain, subject to a maximum return of at least 21.6% that will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for every 1% that the index declines beyond 10%.

The notes are expected to price May 8 and settle May 13.

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