Credit Suisse plans buffered return enhanced notes tied to currencies

By Susanna Moon

Chicago, May 22 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due Dec. 1, 2010 linked to the performance of a basket of four equally weighted currencies relative to the dollar, 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 underlying currencies are the Australian dollar, Brazilian real, Chinese yuan and Norwegian krone.

The payout at maturity will be par plus at least 138% of any basket gain, up to a maximum return of at least 13.8%. The exact leverage factor and cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% drop beyond 10%.

The notes are expected to price on May 27 and settle on June 1.

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