Credit Suisse to price Cert PLUS securities linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., Aug. 20 - Credit Suisse, Nassau Branch plans to price 0% Cert PLUS securities due March 5, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 120% to 125% of any index gain, with the exact participation rate to be set at pricing.

If the index remains above the knock-in level - 70% of the initial level - throughout the life of the notes and the final index level is less than the initial level, the payout will be par.

If the index closes at or below the knock-in level during the life of the notes and finishes below the initial level, investors will receive par plus the final index return.

The notes are expected to price Aug. 31 and settle Sept. 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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