Credit Suisse plans high/low coupon notes linked to S&P 500, Russell

By Toni Weeks

San Diego, Feb. 28 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due April 30, 2012 linked to the S&P 500 and the Russell 2000 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either index falls to or below 80% of its initial level during the life of the notes.

If a knock-in event never occurs, the coupon is expected to be between 9.75% and 11.75%, with the exact coupon set at pricing.

If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period is expected to be 3%. Interest is payable quarterly.

The notes are callable at par on any interest payment date beginning July 29.

The payout at maturity will be par unless a knock-in event occurs, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.

The notes (Cusip: 22546E3W2) are expected to price April 25 and settle April 29.

Credit Suisse Securities (USA) LLC is the agent.

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