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

By Susanna Moon

Chicago, Jan. 31 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Feb. 29, 2012 based on the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

A knock-in event will occur if either index closes at or below 80% of its initial level.

The coupon will be 10.5% to 12.5% unless a knock-in event occurs, in which case the coupon will be 3% for that and each subsequent quarter. Interest will be payable quarterly.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lower performing index, up to a maximum payout of par.

The notes will be callable at par on any interest payment date.

The notes (Cusip 22546ES47) are expected to price on Feb. 23 and settle on Feb. 28.

The exact deal terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the underwriter.

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