Credit Suisse plans performance yield notes tied to fund, two indexes

By Susanna Moon

Chicago, Sept. 3 - Credit Suisse AG, Nassau Branch plans to price performance yield notes due April 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 16% plus 16% 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. 30, March 31, 2011, June 29, 2011, Sept. 30, 2011, Dec. 30, 2011 and the valuation date of April 2, 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 any underlying index or fund falls to or below 70% of its initial level on April 2, 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 22546EZB3) will price on Sept. 30 and settle on Oct. 5.

Credit Suisse Securities (USA) LLC is the underwriter.

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