Credit Suisse to price protected ProNotes linked to index, ETF basket

By Jennifer Chiou

New York, April 29 - Credit Suisse, Nassau Branch plans to price zero-coupon principal-protected ProNotes due June 3, 2015 linked to an index and four exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 50% weight, the iShares Barclays TIPS Bond fund with a 25% weight, the iShares MSCI EAFE index fund with a 10% weight, the SPDR Gold trust with a 10% weight and the iShares MSCI Emerging Markets index fund with a 5% weight.

The payout at maturity will be par plus 125% to 140% of any basket gain, with the exact participation rate to be set at pricing. If the basket declines, the payout will be par.

The final basket level will be the average of the basket levels on May 31, 2011, May 29, 2012, May 29, 2013, May 29, 2014 and May 29, 2015.

The notes are expected to price on May 23 and settle on June 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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