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

By Marisa Wong

Madison, Wis., Nov. 9 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 19, 2012 linked to the S&P 500 index, 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 will occur if any underlying component closes at or below 60% of its initial level on any day during an observation period. There will be four quarterly observation periods.

Interest is payable quarterly. The coupon will be 18.25% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. The exact interest rates will be set at pricing.

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 component, up to a maximum payout of par.

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

The notes (Cusip: 22546TGY1) will price on Nov. 14 and settle on Nov. 17.

Credit Suisse Securities (USA) LLC is the underwriter.

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