Credit Suisse plans bearish high/low coupon callable yield notes tied to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., April 25 - Credit Suisse AG, Nassau Branch plans to price bearish high/low coupon callable yield notes due May 3, 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 underlying index closes at or above 122.5% of its initial level.

Interest will be payable quarterly. The coupon is expected to be 10.35% per year unless a knock-in event occurs, in which case the coupon is expected to be 3% per year for that and each subsequent interest period. 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 minus the return of the better-performing underlying index, subject to a maximum payout of par.

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

The notes (Cusip: 22546E5M2) are expected to price April 28 and settle May 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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