Credit Suisse plans performance yield notes linked to worst performing of two indexes, one ETF

By Jennifer Chiou

New York, July 30 - Credit Suisse AG, Nassau Branch plans to price performance yield notes due March 5, 2012 linked to the worst performing of the S&P 500 index, the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will equal the sum of 17% plus 17% times the return of the worst performing underlying index or fund on the applicable observation date. Interest is payable quarterly and cannot be less than zero.

The observation dates are Dec. 1, 2010; March 2, 2011; June 1, 2011, Aug. 31, 2011, Nov. 30, 2011; and the valuation date of Feb. 29, 2012.

The notes are callable in whole at par plus accrued interest if the closing level of each underlying index or fund is greater than its knock-out level - 105% of the initial level - on any observation date.

A knock-in event occurs if each underlying index or fund falls to or below 70% of its initial level on Feb. 29, 2012.

If the notes are not called and a knock-in event occurs, the payout at maturity will be par plus the return of the worst performing index or fund.

If the notes are not called and a knock-in event does not occur, the payout will be par.

The notes (Cusip 22546EXP4) will price on Aug. 31 and settle on Sept. 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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