Credit Suisse plans high/low coupon callable notes on S&P 500, Russell

By Toni Weeks

San Diego, Aug. 3 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Aug. 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 underlying component falls to or below 65% of its initial level during a quarterly observation period.

If a knock-in event never occurs, the coupon will be 6 to 8%, with the exact coupon to be set at pricing. 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.

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: 22546TXF3) are expected to price Aug. 27 and settle Aug. 30.

Credit Suisse Securities (USA) LLC is the agent.

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