Credit Suisse plans bull/bear protected ProNotes on S&P 500, iShares Barclays Treasury fund

By Susanna Moon

Chicago, Jan. 29 - Credit Suisse, Nassau Branch plans to price zero-coupon bull/bear principal-protected ProNotes due March 3, 2015 based on the performance of a basket containing equal weights of the S&P 500 index and the iShares Barclays 20+ Year Treasury 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 40% to 50% of the absolute value of any losses.

If the basket neither gains nor falls, the payout will be par.

The final basket level will be the average of its closing levels on Feb. 26 of each year beginning in 2011.

The notes are expected to price on Feb. 25 and settle on March 2.

Credit Suisse Securities (USA) LLC is the underwriter.

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