Credit Suisse plans high/low coupon callable notes tied to index, fund

By Jennifer Chiou

New York, Feb. 4 - Credit Suisse AG plans to price high/low coupon callable yield notes due Aug. 28, 2015 linked to the Russell 2000 index and the iShares China Large-Cap ETF, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if any underlying component ever closes at or below its 70% knock-in level during any observation period.

The coupon will be 9% to 11% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. Interest will be payable quarterly. The exact coupon rate will be set at pricing.

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 lower performing component, up to a maximum payout of par.

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

The notes (Cusip: 22547QGZ3) are expected to price on Feb. 25 and settle on Feb. 28.

Credit Suisse Securities (USA) LLC is the underwriter.

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