Credit Suisse plans contingent coupon callable yield notes on indexes

By Marisa Wong

Madison, Wis., Dec. 6 - Credit Suisse AG, Nassau Branch plans to price contingent coupon callable yield notes due Dec. 12, 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 index closes at or below the knock-in level - expected to be 57.5% of the initial level - on any day during the life of the notes. The exact knock-in level will be set at pricing.

Interest is payable quarterly at a rate of 8.75% to 9.75% per year if a knock-in event does not occur. If a knock-in event occurs during a quarterly interest period, no interest will be paid for that and each subsequent quarter.

The payout at maturity will be par unless a knock-in occurs during the life of the notes, in which case investors will receive par plus the return of the worst-performing index, up to a maximum payout of par.

The notes are callable at par on any interest payment date beginning March 12, 2012.

The notes (Cusip: 22546TJF9) are expected to price Dec. 7 and settle Dec. 12.

Credit Suisse Securities (USA) LLC will be the agent.

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