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

By Marisa Wong

Madison, Wis., May 29 - Credit Suisse AG plans to price high/low coupon callable yield notes due Dec. 18, 2015 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 below its knock-in level, expected to be 65% of its initial level, during the life of the notes.

Interest is payable quarterly. The coupon will be 9% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period. The exact coupon 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 lowest-performing underlying component, subject 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 are expected to price June 13 and settle June 18.

The Cusip number is 22547QNN2.

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