Credit Suisse to price buffered return enhanced notes tied to Asian indexes, currencies via JPMorgan

By Angela McDaniels

Tacoma, Wash., Dec. 14 - Credit Suisse, Nassau Branch plans to price 0% buffered return enhanced notes due Jan. 14, 2011 linked to a basket of indexes and their 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 with a 33% weight, the Kospi 200 index with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.

To determine the return for each index, the issuer will multiply its final return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - 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 19.94% and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The final index level will be the average of the index's closing levels on the five trading days ending Jan. 11, 2011.

The notes are expected to price Dec. 18 and settle Dec. 23.

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