Credit Suisse to price five-year bull/bear ProNotes linked to S&P 500, iShares TIPS fund

By Angela McDaniels

Tacoma, Wash., April 29 - Credit Suisse, Nassau Branch plans to price zero-coupon bull/bear principal-protected ProNotes due June 3, 2015 linked to a basket containing equal weights of the S&P 500 index and the iShares Barclays TIPS Bond fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 110% of any basket gain or par plus 50% to 60% of the absolute value of any basket decline. The exact downside participation rate will be set at pricing.

The final basket level will be the average of its closing levels on May 31, 2011, May 29, 2012, May 29, 2013, May 29, 2014 and May 29, 2015.

The notes are expected to price May 28 and settle June 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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