Credit Suisse to price ProNotes linked to HS Market Neutral index

By Susanna Moon

Chicago, March 9 - Credit Suisse, Nassau Branch plans to price 0% ProNotes due March 28, 2013 linked to the HS Market Neutral index powered by HOLT, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any index gain.

Investors will receive at least par.

The index reflects the difference in return between two equally weighted subindexes, the Long Total Return index and the Short Total Return index. Each subindex contains approximately 75 stocks listed in North America, Europe or Japan. To qualify for inclusion in the Long index, stocks must be undervalued, have positive stock market momentum and display positive corporate performance. To qualify for inclusion in the Short index, stocks must be overvalued, have negative stock market momentum and negative corporate performance.

The notes are expected to price on March 25 and settle on March 31.

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

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