Credit Suisse plans 10%-12% callable yield notes on Energy Select Sector SPDR, SPDR Gold Trust

By Jennifer Chiou

New York, Dec. 30 - Credit Suisse, Nassau Branch plans to price 10% to 12% callable yield notes due Feb. 3, 2011 linked to the Energy Select Sector SPDR fund and the SPDR Gold Trust, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable quarterly, and the exact rate is to be set at pricing.

The payout at maturity will be par unless either asset falls to or below its knock-in level - 70% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing underlying asset, capped at a maximum payout of par.

The notes will be callable at par plus accrued interest on any interest payment date beginning Aug. 3, 2010.

The notes are expected to price on Jan. 29 and settle on Feb. 3.

Credit Suisse Securities (USA) LLC will be the underwriter.

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