Credit Suisse to price 0% buffered notes linked to commodity basket

By Laura Lutz

Des Moines, April 30 - Credit Suisse, Nassau branch plans to price an offering of 0% buffered notes due May 31, 2012 linked to a commodity basket, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of aluminum with a 7% weight, copper with a 7% weight, crude oil with a 15% weight, gold with a 5% weight, heating oil with a 5% weight, lead with a 5% weight, natural gas with a 10% weight, nickel with a 6% weight, unleaded gasoline with a 5% weight, zinc with a 5% weight, the S&P GSCI - Excess Return Agriculture index with a 20% weight and the S&P GSCI - Excess Return Livestock index with a 10% weight.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times a participation rate that is expected to be between 140% and 153%. The exact participation rate will be set at pricing.

The payout will be par if the basket level declines by up to 20%. Investors will lose 1% for each 1% decline beyond 20%.

The notes are expected to price in May and settle on June 2.

Credit Suisse Securities (USA) LLC will be the underwriter.

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