Credit Suisse to price 0% notes linked to dual directional buffered return enhanced indexes via JPMorgan

By Angela McDaniels

Tacoma, Wash., April 7 - Credit Suisse, Nassau Branch plans to price 0% notes due April 22, 2010 linked to a basket of three dual directional 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.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.

If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be the absolute value of the decline. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.

The maximum return will be at least 26% for the Euro Stoxx 50 and at least 24% for each of the Topix and FTSE 100 indexes. The exact caps will be set at pricing.

The notes are expected to price April 9 and settle April 16.

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