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

By Jennifer Chiou

New York, March 1 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due March 26, 2013 linked to the Russell 2000 index, the United States Oil Fund, LP 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 60% of its initial level during a quarterly observation period.

If a knock-in event never occurs, the coupon will be 12% to 15%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.

The notes are callable on any interest payment date beginning on June 26.

If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.

The notes (Cusip: 22546TNH0) are expected to price on March 21 and settle on March 26.

Credit Suisse Securities (USA) LLC is the agent.

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