Credit Suisse plans callable Cert PLUS notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Jan. 11 - Credit Suisse AG, Nassau Branch plans to price 0% callable Cert PLUS securities due Feb. 3, 2012 linked to the S&P 500 and Russell 2000 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The securities are callable on Aug. 1, 2011 at par plus a call return that is expected to be 7%.

If the securities are not called, the payout at maturity will depend on the return of the index with the lower return.

If the worst-performing index finishes above the initial level, the payout at maturity will be par plus at least 150% of that index's return.

If the final level of the worst-performing index is above 75% of its initial level but is less than or equal to its initial level, the payout will be par.

If the final level of the worst-performing index is 75% or less of its initial level, the payout will be par plus that index's return.

The exact call return and upside participation rate will be set at pricing.

The securities (Cusip: 22546EQ72) are expected to price Jan. 31 and settle Feb. 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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