Credit Suisse to price 0% Bares linked to index basket

By Jennifer Chiou

New York, July 2 - Credit Suisse, Nassau branch plans to price 0% Buffered Accelerated Return Equity Securities (Bares) due July 29, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket will include the Tokyo Stock Price index with a 28% weight, the Dow Jones Euro Stoxx 50 index with a 25% weight, the FTSE 100 index with a 25% weight, the S&P/ASX 200 index with a 10% weight, the Swiss Market index with a 6% weight and the FTSE/Xinhua China 25 index with a 6% weight.

The payout at maturity will be par plus any percentage increase in the basket level multiplied by the 135% participation rate.

Investors will receive par if the basket level declines by 15% or less and will lose 1% for each 1% decline beyond 15%.

The notes will price and settle sometime in July.

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

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