Credit Suisse plans high/low coupon notes linked to S&P, Russell

By Marisa Wong

Madison, Wis., May 31 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Sept. 30, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 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 on any day during the life of the notes.

If a knock-in event does not occur during a quarterly observation period, the coupon will be 7% to 8% per year for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1% per year. Interest will be payable quarterly. The exact rates will be set at pricing.

The payout at maturity will be par unless a knock-in event occurs, in which case investors will receive par plus the return of the worse-performing component, up to a maximum payout of par.

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

The notes (Cusip: 22546TUD1) are expected to price June 26 and settle Juen 29.

Credit Suisse Securities (USA) LLC is the agent.

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