Credit Suisse plans five-year CS global basket notes tied to baskets

By Angela McDaniels

Tacoma, Wash., Sept. 1 - Credit Suisse AG, Nassau Branch plans to price 0% CS global basket notes due Oct. 5, 2015 linked to the best performing of three baskets consisting of the SPDR S&P 500 ETF trust, the iShares Barclays 20+ Year Treasury Bond fund and the SPDR Gold trust, according to an FWP filing with the Securities and Exchange Commission.

Basket A contains a 50% weight of the SPDR S&P 500, a 20% weight of the Treasury bond fund and a 30% weight of the SPDR Gold trust.

Basket B contains a 20% weight of the SPDR S&P 500, a 30% weight of the Treasury bond fund and a 50% weight of the SPDR Gold trust.

Basket C contains a 30% weight of the SPDR S&P 500, a 50% weight of the Treasury bond fund and a 20% weight of the SPDR Gold trust.

The payout at maturity will be par plus the return of the best-performing basket. There will be a floor of par.

The final level of each index will be the average of its closing levels on 10 valuation dates falling in March and September of each year beginning in March 2011.

The notes (Cusip: 22546EZE7) are expected to price Sept. 30 and settle Oct. 5.

Credit Suisse Securities (USA) LLC is the underwriter.

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