Credit Suisse plans high/low coupon callable yield notes on indexes

By Jennifer Chiou

New York, Nov. 2 - 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 will occur if either index closes at or below 65% of its initial level.

Interest will be payable monthly. The coupon is expected to be 9% to 11% per year unless a knock-in event occurs, in which case the coupon is expected to be 1% per year for that and each subsequent quarter. The exact coupons will be set at pricing.

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.

Beginning on Feb. 28, 2012, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22546TGR6) are expected to price on Nov. 22 and settle on Nov. 28.

Credit Suisse Securities (USA) LLC is the underwriter.

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