Credit Suisse plans buffered return enhanced notes on S&P 500 via JPM

By Jennifer Chiou

New York, March 15 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due April 7, 2011 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 double any index gain, up to a maximum return of at least 10.6%. The exact cap will be set at pricing.

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

The notes are expected to price on March 19 and settle on March 24.

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