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

By Susanna Moon

Chicago, Feb. 16 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Feb. 21, 2013 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 either index or fund falls to or below 60% of its initial level during a quarterly observation period.

If a knock-in event never occurs, the coupon will be 11% to 12%, with the exact rate to be set at pricing. Otherwise, the coupon for that interest period and each subsequent quarterly interest period will be 1%. Interest is payable quarterly.

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

The payout at maturity will be par unless either index or fund 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 will price on Feb. 17 and settle on Feb. 23.

The Cusip number is 22546TMX6.

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