Credit Suisse plans 0% Bares due 2011 tied to index, index funds

By E. Janene Geiss

Philadelphia, May 5 - Credit Suisse, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities due Oct. 31, 2011 linked to a basket of index funds and an index, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 70% weight, iShares MSCI EAFE Index Fund with a 15% weight, SPDR Midcap ETF Trust with an 8% weight, iShares MSCI Emerging Markets index fund with a 4% weight and iShares Russell 2000 index fund with a 3% weight.

The payout at maturity will be par plus 140% of any increase in the basket, up to a maximum return of 30.8% to 44.8%. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 20% and will lose 1% for every 1% decline beyond the buffer.

The securities are expected to price on May 21 and settle on May 26.

Credit Suisse Securities (USA) LLC is the agent.

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