Credit Suisse plans high/low autocallable notes on two indexes, fund

By Toni Weeks

San Diego, Aug. 8 - Credit Suisse AG, Nassau Branch plans to price high/low coupon autocallable yield notes due Aug. 15, 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 occurs if any 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 is expected to be 13% to 15%, with the exact coupon set at pricing.

If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period is expected to be 1%. Interest is payable quarterly.

The notes will be automatically called at par if the closing level of each underlying component is greater than its initial level on any quarterly observation date.

The payout at maturity will be par unless any component falls to or below its knock-in level during the life of the notes, 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: 22546TDE8) are expected to price Aug. 10 and settle Aug. 15.

Credit Suisse Securities (USA) LLC is the agent.

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