Credit Suisse to price one-year callable Cert PLUS notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., April 29 - Credit Suisse AG, Nassau Branch plans to price 0% callable Cert PLUS securities due June 4, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The securities are callable on Dec. 5, 2011 at par plus a call return that is expected to be 4%.

If the securities are not called, the payout at maturity will depend on the return of the index with the lower return.

If the worst-performing index finishes at or above its initial level, the payout at maturity will be par plus at least 125% of that index's return.

If the final level of the worst-performing index is less than its initial level and the final level of either index is 77.5% or less of its initial level, the payout will be par plus the return of the worst-performing index.

If the final level of the worst-performing index is less than its initial level and the final level of each index is greater than 77.5% of its initial level, the payout will be par.

The exact call return and upside participation rate will be set at pricing.

The securities (Cusip: 22546E5V2) are expected to price May 31 and settle June 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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