Credit Suisse plans 0% Bares linked to iShares MSCI Emerging Markets

By Susanna Moon

Chicago, March 1 - Credit Suisse, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities due Oct. 3, 2011 based on the iShares MSCI Emerging Markets index fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any fund gain, up to a return cap of 22% to 24%. The exact percentage will be set at pricing.

Investors will receive par if the shares fall by up to 10% and will be exposed to any decline beyond the buffer.

The notes will price on March 26 and settle on March 31.

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

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