Credit Suisse to price semiannual review notes linked to index basket via JPMorgan

By Angela McDaniels

Tacoma, Wash., Feb. 3 - Credit Suisse, Nassau Branch plans to price 0% semiannual review notes due Feb. 10, 2012 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Dow Jones Euro Stoxx 50 with a 52% weight, the FTSE 100 with a 24% weight and the Topix with a 24% weight.

The notes will be automatically called if the basket closes at or above the call level on any of three review dates. The call level is 90% of the initial level on the first review date and 100% of the initial level on the second and third review dates.

Investors will receive par plus at least 8% if the notes are called on Feb. 18, 2011, par plus at least 12% if they are called on Aug. 5, 2011 and par plus at least 16% if they are called on Feb. 7, 2012. The exact call premiums will be set at pricing.

If the notes are not called, the payout at maturity will be par as long as the final basket level is at least 90% of the initial level. Otherwise, investors will lose 1.1111% for every 1% that it declines beyond 10%.

The notes will price Feb. 5 and settle Feb. 10.

J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.

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