Credit Suisse plans high/low coupon callable notes on Russell, fund

By Toni Weeks

San Luis Obispo, Calif., April 29 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Dec. 5, 2014 linked to the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying component falls to or below 65% of its initial level during the life of the notes.

If a knock-in event never occurs, the coupon will be 8% to 10%. 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 exact rate will be determined at pricing.

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

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: 22546T6B2) are expected to price May 31 and settle June 5.

Credit Suisse Securities (USA) LLC is the agent.

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