Credit Suisse plans high/low coupon callable notes on fund, indexes

By Marisa Wong

Madison, Wis., Sept. 13 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due June 25, 2013 linked to the S&P 500 index, the Russell 2000 index 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 falls to or below 65% of its initial level on any day during the life of the notes.

If a knock-in event never occurs, the coupon will be between 10.25% and 11.25%. If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. The exact rates will be set at pricing. Interest is payable monthly.

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

The payout at maturity will be par unless any component falls to or below its knock-in level during the life of the notes, 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 is the agent.

The notes (Cusip: 22546TZJ3) are expected to price on Sept. 20 and settle Sept. 25.

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