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Credit Suisse plans 0% notes due 2010 linked to buffered return enhanced indexes, currencies
By E. Janene Geiss
Philadelphia, July 7 - Credit Suisse, Nassau Branch plans to price 0% notes due July 29, 2010 linked to a basket of three buffered return enhanced components, 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 components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Topix index with a 28% weight and the FTSE 100 index with a 23% weight.
In each case, the component's contribution to the basket will be the return on the index multiplied by the return on the applicable currency - the euro for the Euro Stoxx 50, the yen for the Topix and the pound for the FTSE 100 - relative to the dollar.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the return is less than negative 10%.
The cap will be at least 20.9% for the Euro Stoxx 50 and at least 18.4% for each of the Topix and FTSE 100. The exact caps will be set at pricing.
The final basket level will be the arithmetic average of the baskets' closing levels on the five consecutive days ending July 26, 2010.
The notes are expected to price on July 10 and settle on July 15.
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