Credit Suisse to sell 0% accelerated return securities linked to Fortinbras USD Three Factor Model index

By E. Janene Geiss

Philadelphia, Jan. 27 - Credit Suisse, Nassau branch plans to price 0% Accelerated Return Equity Securities due Feb. 28, 2012 linked to the Credit Suisse Fortinbras USD Excess Return Three Factor Model index, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be par plus 200% of any gain on the index. Investors will be fully exposed to any decline of the index.

The Fortinbras Three Factor Model is a proprietary momentum-based algorithm which seeks to identify trends in fixed income markets. It is intended to benefit from interest rate moves by taking exposure to long or short positions in interest rate swap markets in three tenors - one-year swaps, two-year swaps and five-year swaps - and in four different currencies, the euro, the dollar, the Swiss Franc and the British pound.

The notes will price Feb. 20 and settle Feb. 27.

Credit Suisse (USA) LLC will be the underwriter.

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