New Issue: Credit Suisse prices $415,000 protected ProNotes on S&P 500, four ETFs

By Jennifer Chiou

New York, April 29 - Credit Suisse, Nassau Branch priced $415,000 of zero-coupon principal-protected ProNotes due Oct. 30, 2015 linked to a basket of one index and four exchange-traded funds, according to a 424B2 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 130% of any basket gain. Investors will receive at least par.

The final basket level will be the average of the basket's levels on the valuation dates, which fall on Oct. 27 from 2010 to 2015.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Principal-protected ProNotes
Underlying components:	S&P 500 index (50% weight), iShares Barclays TIPS Bond fund (25% weight), iShares MSCI EAFE index fund (10% weight), SPDR Gold Trust (10% weight), iShares MSCI Emerging Markets index fund (5% weight)
Amount:	$415,000
Maturity:	Oct. 30, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 130% of any basket gain; floor of par
Initial levels:	1,183.71 for S&P 500; $105.38 for iShares Barclays TIPS; $54.24 for iShares MSCI EAFE; $114.64 for SPDR Gold Trust; and $41.51 for iShares MSCI Emerging Markets
Pricing date:	April 27
Settlement date:	April 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.25%
Cusip:	22546ETM6

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