Credit Suisse plans high/low coupon notes linked to ETF, two indexes

By Marisa Wong

Madison, Wis., Nov. 1 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 14, 2013 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, 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 on any day during the life of the notes. The exact knock-in level will be set at pricing.

If a knock-in event never occurs, the coupon is expected to be 9%. If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. The exact rates will be set at pricing. Interest is payable monthly.

The notes are callable at par on any interest payment date beginning March 14, 2013.

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.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22546TG96) are expected to price on Nov. 9 and settle Nov. 14.

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