Credit Suisse plans high/low coupon callable notes on S&P, Russell

By Marisa Wong

Madison, Wis., Nov. 16 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 28, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either component falls to or below 50% of its initial level on any day during the life of the notes.

If a knock-in event does not occur during a quarterly observation period, the coupon will be an annualized 13.4% for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 1%. Interest is payable quarterly.

The payout at maturity will be par unless either component falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worse-performing component, up to a maximum payout of par.

The notes are callable at par on any interest payment date.

The notes (Cusip: 22546THF1) are expected to price on Nov. 22 and settle on Nov. 28.

Credit Suisse Securities (USA) LLC is the agent.

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