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

By Toni Weeks

San Diego, March 1 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due March 27, 2013 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event occurs if any underlying component falls to or below 55% of its initial level during the life of the notes.

If a knock-in event never occurs, the coupon is expected to be 12% 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 are callable at par on any interest payment date beginning June 27.

The payout at maturity will be par unless any underlying 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: 22546TNG2) are expected to price March 22 and settle March 27.

Credit Suisse Securities (USA) LLC will be the agent.

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