Credit Suisse to price one-month Libor warrants via Merrill Lynch

By Angela McDaniels

Tacoma, Wash., May 27 - Credit Suisse, Nassau Branch plans to price one-month Libor warrants expiring in June 2016, according to a 424B2 filing with the Securities and Exchange Commission.

Merrill Lynch, Pierce, Fenner & Smith Inc. is the underwriter.

The warrants will be issued in denominations of $100 and at a price of $6 per warrant.

The warrants will be automatically exercised monthly and cannot be exercised at any other time. Investors will receive $100 multiplied by an annualized rate equal to one-month Libor minus the strike level, subject to a floor of zero. The strike level is expected to be 3.25% to 4.50% and will be set at pricing.

One-month Libor must exceed the strike level by an average of at least 0.85715% each month in order for the cumulative cash payments to equal at least the original price of the warrants.

The warrants will price and settle in June.

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