Credit Suisse to sell optimal entry return enhanced notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, March 31 - Credit Suisse, Nassau Branch plans to price zero-coupon optimal entry return enhanced notes due July 9, 2010 linked to the S&P 500 index via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus triple any gain in the index from the lowest index closing level during the lookback observation period, capped at 16.41%. The exact cap will be set at pricing.

The lookback observation period is the 90-day period from the pricing date, which is expected to be April 2. The notes are expected to settle April 7.

Investors are fully exposed if the final index level declines from the lowest index level during the lookback period.

The final index level with the arithmetic average of the index's closing level on the five consecutive trading days ending July 6, 2010.

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