Credit Suisse plans high/low coupon callable notes on index, two funds

By Susanna Moon

Chicago, Jan. 11 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Jan. 20, 2012 based on the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if any of the underlying components closes at or below 65% of its initial level.

The coupon is expected to be 16% per year unless a knock-in event occurs, in which case the coupon is expected to be 4% per year for that and each subsequent interest period. The exact coupons will be set at pricing. Interest will be payable quarterly.

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 lowest-performing underlying component, up to a maximum payout of par.

The notes will be callable at par on any interest payment date.

The notes (Cusip 22546ER22) are expected to price on Jan. 18 and settle on Jan. 21.

Credit Suisse Securities (USA) LLC is the underwriter.

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