Credit Suisse to sell 0% ARES linked to Credit Suisse Fortinbras Three Factor Model index

By E. Janene Geiss

Philadelphia, Jan. 8 - Credit Suisse, Nassau Branch plans to price 0% Accelerated Return Equity Securities due July 30, 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.

The index is an excess return index that tracks the performance of the Credit Suisse Fortinbras Three Factor Model, which is designed to benefit from interest rate moves by taking exposure to long or short positions in interest rate swap markets in three tenors (one-, two- and five-year swaps) and in four different currencies (the euro, dollar, Swiss franc and British pound) for a total of 12 interest rate swap positions.

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

The notes will price on Jan. 23 and settle on Jan. 30.

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

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