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

By Susanna Moon

Chicago, Nov. 3 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 23, 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 during a quarterly observation period.

The coupon will be 12% to 14% annualized unless a knock-in event occurs, in which case the coupon will be 1% for that and each subsequent interest period. The exact rates will be set at pricing. 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 beginning on Feb. 23, 2012.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on Nov. 18 and settle on Nov. 23.

The Cusip number is 22546TGV7.

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