Credit Suisse plans high/low coupon callable notes on S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., July 11 – Credit Suisse AG plans to price high/low coupon callable yield notes due Jan. 28, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying component falls to or below its knock-in level during any quarterly observation period. The knock-in level is expected to be 73.5% to 77.5% of the initial level and will be determined at pricing.

If a knock-in event never occurs, the coupon will be 8%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable quarterly.

The notes are callable on any interest payment date beginning Jan. 28, 2015.

If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.

The notes (Cusip: 22547QQN9) are expected to price July 23 and settle July 28.

Credit Suisse Securities (USA) LLC is the agent.

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