Credit Suisse to price enhanced participation notes linked to Long/Short Equity Liquid index

By Angela McDaniels

Tacoma, Wash., Dec. 31 - Credit Suisse, Nassau Branch plans to price 0% enhanced participation securities due April 29, 2014 linked to the Credit Suisse Long/Short Equity Liquid Index (Excess Net), according to an FWP filing with the Securities and Exchange Commission.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 120% of the gain.

If the final index level is less than the initial level, the payout will be par minus 80% of the decline.

The index is designed to correlate to the historical performance of the Credit Suisse Tremont Long/Short Equity Hedge Fund index by tracking the performance of a basket of non-hedge fund, transparent market measures.

The notes are expected to price Jan. 22 and settle Jan. 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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