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Credit Suisse plans bull/bear ProNotes on S&P 500, iShares TIPS fund
By Susanna Moon
Chicago, March 2 - Credit Suisse, Nassau Branch plans to price zero-coupon bull/bear principal-protected ProNotes due Oct. 1, 2015 based on the performance of a basket containing equal weights of the S&P 500 index and the iShares Barclays TIPS Bond fund, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus any basket gain or par plus 50% to 60% of the absolute value of any losses.
If the basket neither gains nor falls, the payout will be par.
The notes are expected to price on March 26 and settle on March 31.
Credit Suisse Securities (USA) LLC is the underwriter.
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