Credit Suisse to price 18%-20% callable yield notes linked to Russell 2000, S&P 500

By Angela McDaniels

Tacoma, Wash., Jan. 8 - Credit Suisse, Nassau Branch plans to price callable yield notes due Jan. 21, 2010 linked to the Russell 2000 and S&P 500 indexes, according to an FWP filing with the Securities and Exchange Commission.

Interest is expected to be 21% per year for the first quarter and then 18% to 20% per year. Interest will be payable quarterly.

If either index falls to or below its knock-in level - 60% of its initial level - during the life of the notes, then the payout at maturity will be par plus the return of the worst-performing index, capped at a maximum payout of par. If each index remains above its knock-in level, then the payout will be par.

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

The notes are expected to price on Jan. 15 and settle on Jan. 21.

Credit Suisse Securities (USA) LLC is the underwriter.

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