Credit Suisse to price 17%-20% callable yield notes linked to Russell 2000, S&P 500

By E. Janene Geiss

Philadelphia, Jan. 27 - Credit Suisse, Nassau Branch plans to price callable yield notes due Feb. 26, 2010 linked to the S&P 500 index and Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The quarterly interest payments are expected to be 17% to 20% per year. The exact coupon will be set at pricing.

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

The notes will be callable in whole at par plus accrued interest on any interest payment date.

The notes are expected to price Feb. 23 and settle Feb. 26.

Credit Suisse Securities (USA) LLC will be the underwriter.

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