Credit Suisse plans high/low coupon callable yield notes on index, funds

By Susanna Moon

Chicago, March 27 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 3, 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 will occur if any underlying component closes at or below its knock-in level, 58% of its initial level, during the life of the notes.

The coupon will be 10% to 12% unless a knock-in event occurs, in which case the coupon will be 1% for that and each subsequent payment period. Interest is 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 lowest-performing underlying component, up to a maximum payout of par.

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

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on April 30 and settle on May 3.

The Cusip number is 22546T4N8.

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