Credit Suisse amends knock-in level, coupon for high/low coupon notes on S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., March 16 - Credit Suisse AG, Nassau Branch updated the knock-in level and coupon for its upcoming issue of high/low coupon callable yield notes due March 27, 2013 linked to the S&P 500 index and the Russell 2000 index, according to an amended 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either index closes at or below 60% of its initial level during a quarterly observation period. The knock-in level was previously set at 65%.

The coupon will now be 10% to 11% per year unless a knock-in event occurs, in which case the coupon will be 1% for that and each subsequent interest period. The coupon range was originally set at 8% to 10%. The exact rate will be set at pricing. Interest will be payable quarterly.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lower-performing index, up to a maximum payout of par.

The notes will be callable at par on any interest payment date beginning on June 27, 2012.

The notes (Cusip: 22546TNG2) will price on March 22 and settle on March 27.

Credit Suisse Securities (USA) LLC is the underwriter.

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