New Issue: Credit Suisse prices $5.47 million 11.45% callable yield notes on S&P, Market Vectors

By Jennifer Chiou

New York, May 14 - Credit Suisse, Nassau Branch priced $5.47 million of 11.45% callable yield notes due May 17, 2011 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes are callable in whole at par on any interest payment date beginning Aug. 17, 2010.

The payout at maturity will be par unless either of the underlying components falls to or below its knock-in level - 65% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worse-performing component, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Callable yield notes
Underlying components:	S&P 500 index and Market Vectors Gold Miners exchange-traded fund
Amount:	$5,465,000
Maturity:	May 17, 2011
Coupon:	11.45%, payable quarterly
Price:	Par
Payout at maturity:	If either component falls to or below its knock-in level during the life of the notes, par plus the return of the worse-performing component, capped at par; otherwise, par
Call option:	At par on interest payment dates beginning Aug. 17, 2010
Initial levels:	1,171.67 for S&P; $53.43 for Market Vectors Gold
Knock-in levels:	761.5855 for S&P; $34.7295 for Market Vectors Gold; 65% of initial levels
Pricing date:	May 12
Settlement date:	May 17
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	2.5%
Cusip:	22546EVH1

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