Credit Suisse plans callable Cert PLUS notes tied to S&P 500, Russell

By Toni Weeks

San Diego, Sept. 22 - Credit Suisse AG, Nassau Branch plans to price 0% callable Cert PLUS securities due April 4, 2013 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 April 5, 2012 at par plus a call return that is expected to be 8% to 10%.

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 150% 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 60% 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 60% 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: 22546TEZ0) are expected to price Sept. 30 and settle Oct. 5.

Credit Suisse Securities (USA) LLC is the underwriter.

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