Credit Suisse changes structure of notes linked to Russell, two funds

By Angela McDaniels

Tacoma, Wash., Sept. 5 - Credit Suisse AG, Nassau Branch made changes to its upcoming notes due Sept. 30, 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.

The notes were originally structured as callable yield notes. They are now high/low coupon callable yield notes.

If a knock-in event does not occur during a quarterly observation period, the coupon is expected to be 12% to 14% 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 is expected to be 1% per year. Interest will be payable quarterly. The exact rates will be set at pricing.

Originally, the coupon was expected to be 12% to 14% and payable quarterly regardless of whether a knock-out event occurred.

The remaining terms of the notes are unchanged.

A knock-in event occurs if any underlying component closes at or below 60% of its initial level on any day during the life of the notes.

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 worst-performing component, up to a maximum payout of par.

The notes are callable at par on any interest payment date.

The notes are expected to price Sept. 25 and settle Sept. 28.

Credit Suisse Securities (USA) LLC is the agent.

The Cusip number is 22546TYG0.

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