Credit Suisse amends upcoming high/low coupon callable yield notes linked to Australia, Brazil ETFs

By Angela McDaniels

Tacoma, Wash., Sept. 9 - Credit Suisse AG, Nassau Branch changed some of the terms of its upcoming high/low coupon callable yield notes linked to the iShares MSCI Australia index fund and the iShares MSCI Brazil index fund, according to an FWP filing with the Securities and Exchange Commission.

The maturity date was changed to Sept. 26, 2011 from Sept. 21, 2011.

Interest will be payable quarterly. The coupon is expected to be 11.1% per year - it was previously expected to be 11% - unless a knock-in event occurs, in which case the coupon is expected to be 5% for that and each subsequent quarter. The exact coupons will be set at pricing.

A knock-in event will occur if either underlying component closes at or below 55% of its initial level.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lower-performing underlying component, up to a maximum payout of par.

Beginning March 28, 2011, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22546EZM9) are now expected to price Sept. 21 and settle Sept. 24. They were previously expected to price Sept. 17 and settle Sept. 22.

Credit Suisse Securities (USA) LLC is the underwriter.

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