Credit Suisse plans high/low coupon notes linked to Russell, two funds

By Susanna Moon

Chicago, Feb. 1 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Aug. 28, 2014 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 ever falls to or below the 60% trigger level during the life of the notes.

The coupon will be 9.5% to 11.5% if a knock-in event never occurs during any quarterly observation period. Otherwise, the coupon for that period and each subsequent interest period will be 1%. Interest is payable quarterly.

The notes are callable at par on any interest payment date beginning May 28.

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.

Credit Suisse Securities (USA) LLC will be the agent.

The notes will price on Feb. 25 and settle on Feb. 28.

The Cusip number is 22546TW98.

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