Credit Suisse plans return enhanced notes on Asian indexes, currencies

By Jennifer Chiou

New York, June 3 - Credit Suisse, Nassau Branch plans to price 0% return enhanced notes due Dec. 9, 2009 linked to a basket of indexes and related currencies, 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 basket includes the Hang Seng China Enterprises index and Hong Kong dollar with a 33% weight, the Korea Stock Price Index 200 and Korean won with a 23% weight, the MSCI Taiwan index and Taiwan dollar with a 20% weight, the Hang Seng index and the Hong Kong dollar with a 16% weight and the MSCI Singapore index and Singapore dollar with an 8% weight. In each case, the component's contribution to the basket will be the return on the index multiplied by the return of the currency relative to the U.S. dollar.

The payout at maturity will be par plus double any basket gain, subject to a maximum return that is expected to be at least 22.14% and will be set at pricing. Investors will be fully exposed to any basket decline.

The notes are set to price on June 4 and settle on June 9.

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