Credit Suisse plans leveraged bear notes linked to iShares Barclays 20+ Year Treasury Bond fund

By Angela McDaniels

Tacoma, Wash., Dec. 15 - Credit Suisse, New York Branch plans to price two times leveraged bear notes due January 2011 linked to the iShares Barclays 20+ Year Treasury Bond fund, according to a term sheet.

The notes are expected to price at up to 102.5% of par.

The notes will be called if the fund's shares trade at or above 130% of the initial share price.

The payout upon redemption or at maturity will be par plus double the fund return plus the notional interest amount minus the accrued borrow cost minus the dividend amount.

The notional interest amount will be the amount of interest accrued on $3,000 at a rate per year equal to overnight Libor, compounded daily.

The accrued borrow cost will be the sum of the daily borrow costs for each day during the life of the notes. The daily borrow cost will be 1.05% per year multiplied by the borrow notional amount, which will be par plus the fund return on that day.

The dividends amount will equal par multiplied by double the quotient of any dividends declared on the fund divided by the initial share price.

The notes are expected to price Dec. 18.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney is the distributor.

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