Credit Suisse plans 7.75% callable yield notes linked to Energy, Health Care Select Sector SPDR funds

By Angela McDaniels

Tacoma, Wash., Oct. 18 - Credit Suisse AG, Nassau Branch plans to price callable yield notes due Nov. 3, 2011 linked to the Energy Select Sector SPDR fund and the Health Care Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

The coupon is expected to be at least 7.75% and will be set at pricing. Interest will be payable quarterly.

The payout at maturity will be par unless either exchange-traded fund falls to or below its knock-in level - 70% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing ETF, capped at a maximum payout of par.

The notes will be callable at par on any interest payment date from May 3, 2011 onward.

The notes (Cusip 22546EC77) are expected to price Oct. 29 and settle Nov. 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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