Credit Suisse to price index knock-out notes linked to S&P GSCI Commodity via JPMorgan

By Marisa Wong

Milwaukee, April 27 - Credit Suisse, Nassau Branch plans to price 0% index knock-out notes due May 12, 2011 linked to the S&P GSCI Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index closes below the knock-out level on any day during the life of the notes. The knock-out level is expected to be 80% of the initial level and will be set at pricing.

If a knock-out event has occurred, the payout at maturity will be par plus the index return. If a knock-out event has not occurred, the payout will be par plus the greater of the contingent minimum return and the index return. The contingent minimum return is expected to be at least 5% and will be set at pricing.

In both cases, the payout is subject to a maximum return of at least 16.5% that will be set at pricing.

The notes are expected to price on April 30 and settle on May 5.

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

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